Collective Arbitrage and the Value of Cooperation
arXiv (Cornell University)(2023)
摘要
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a setting where agents are investing 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. Examples show the advantage of our approach.
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关键词
cooperation,value
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