Collective Arbitrage and the Value of Cooperation

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

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Abstract: We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time 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. A reduction of the price interval of the contingent claims can be obtained by applying the collective super-replication price.

Date: 2023-06, Revised 2024-05
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