{"paper":{"title":"Robust framework for quantifying the value of information in pricing and hedging","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR","q-fin.PR"],"primary_cat":"q-fin.MF","authors_text":"Anna Aksamit, Jan Ob\\l\\'oj, Zhaoxu Hou","submitted_at":"2016-05-09T11:43:10Z","abstract_excerpt":"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\\"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1605.02539","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}