We introduce the notions of collective arbitrage and of collective superreplication in a discrete-time setting where agents invest in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of the fundamental theorem of asset pricing and of the pricing–hedging duality. A reduction of the price interval of the contingent claims can be obtained by applying the collective superreplication price.
Collective arbitrage and the value of cooperation / F. Biagini, A. Doldi, J. Fouque, M. Frittelli, T. Meyer-Brandis. - In: FINANCE AND STOCHASTICS. - ISSN 0949-2984. - (2025), pp. 1-57. [Epub ahead of print] [10.1007/s00780-025-00582-4]
Collective arbitrage and the value of cooperation
A. Doldi
Secondo
;M. FrittelliPenultimo
;
2025
Abstract
We introduce the notions of collective arbitrage and of collective superreplication in a discrete-time setting where agents invest in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of the fundamental theorem of asset pricing and of the pricing–hedging duality. A reduction of the price interval of the contingent claims can be obtained by applying the collective superreplication price.
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