Open Access
August 2017 Semi-static completeness and robust pricing by informed investors
Beatrice Acciaio, Martin Larsson
Ann. Appl. Probab. 27(4): 2270-2304 (August 2017). DOI: 10.1214/16-AAP1259


We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of non-dominated models is given. The concept of semi-static completeness is introduced: it corresponds to having exact replication by means of semi-static strategies. We show that semi-static completeness is equivalent to an extremality property, and give a characterization of the induced filtration structure. Furthermore, we consider investors with additional information and, for specific types of extra information, we characterize the models that are semi-statically complete for the informed investors. Finally, we provide some examples where robust pricing for informed and uninformed agents can be done over semi-statically complete models.


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Beatrice Acciaio. Martin Larsson. "Semi-static completeness and robust pricing by informed investors." Ann. Appl. Probab. 27 (4) 2270 - 2304, August 2017.


Received: 1 October 2015; Revised: 1 September 2016; Published: August 2017
First available in Project Euclid: 30 August 2017

zbMATH: 06803463
MathSciNet: MR3693526
Digital Object Identifier: 10.1214/16-AAP1259

Primary: 91G10
Secondary: 60G44

Keywords: extreme points , filtration enlargement , informed pricing , robust finance , Semi-static completeness

Rights: Copyright © 2017 Institute of Mathematical Statistics

Vol.27 • No. 4 • August 2017
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