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<p>We introduce the notions of <i>collective arbitrage</i> and of <i>collective superreplication</i> 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&#xa0;price.</p>

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Collective arbitrage and the value of cooperation

  • 期刊论文

  • 发表日期：

    2025年11月26日

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  • Francesca Biagini,
  • Alessandro Doldi,
  • Jean-Pierre Fouque,
  • Marco Frittelli,
  • Thilo Meyer-Brandis

摘要

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.