英文标题：
《Robust framework for quantifying the value of information in pricing and
hedging》
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作者：
Anna Aksamit, Zhaoxu Hou and Jan Ob\\l\\\'oj
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最新提交年份：
2018
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英文摘要：
We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and investigate when the pricing--hedging duality for the former extends to the latter. We introduce a general framework to express the superhedging and market model prices for an informed agent. Our key insight is that an informed agent can be seen as a regular agent who can restrict her attention to a certain subset of possible paths. We use results of Hou & Ob\\l\\\'oj on robust approach with beliefs to establish the pricing--hedging duality for an informed agent. Our results cover number of scenarios, including information arriving before trading starts, arriving after static position in European options is formed but before dynamic trading starts or arriving at some point before the maturity. For the latter we show that the superhedging value satisfies a suitable dynamic programming principle, which is of independent interest.
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中文摘要：
我们在稳健的金融衍生品定价和套期保值方法的背景下研究信息不对称。我们考虑两个代理人，一个只观察股票价格，另一个提供一些额外信息，并研究前者的定价——对冲对偶何时扩展到后者。我们引入了一个通用框架来表示知情代理的超边际价格和市场模型价格。我们的关键洞察是，知情的代理可以被视为常规代理，可以将其注意力限制在可能路径的某个子集上。我们使用Hou&Ob\\l\\oj在稳健方法和信念上的结果，为知情代理人建立定价——套期保值二元性。我们的结果涵盖了许多场景，包括交易开始前到达的信息，在欧洲期权的静态头寸形成后到达的信息，但在动态交易开始前到达的信息，或在到期前到达的某个点。对于后者，我们证明了超边缘值满足一个合适的动态规划原则，这是独立的利益。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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