SIAM Journal on Financial Mathematics, Volume 11, Issue 1, Page 27-59, January 2020.
We investigate asymmetry of information in the context of the 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 and Obłój [Finance Stoch., 22 (2018), pp. 511--567], on the robust approach with beliefs to establish the pricing-hedging duality for an informed agent. Our results cover a number of scenarios, including information arriving before trading starts, arriving after the static position in European options is formed but before dynamic trading starts, or arriving at some point before maturity. For the latter we show that the superhedging value satisfies a suitable dynamic programming principle, which is of independent interest. Finally, we explore how our results allow us to develop robust valuation of information.

中文翻译：

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量化定价和对冲中信息价值的强大框架

SIAM金融数学杂志，第11卷，第1期，第27-59页，2020年1月。
在稳健的金融衍生产品定价和对冲方法中，我们研究了信息的不对称性。我们考虑两个代理商，一个仅观察股价，另一个则提供一些附加信息，并调查前者的定价对冲二元性何时扩展到后者。我们引入了一个通用框架来表示知情代理的对冲和市场模型价格。我们的主要见解是，可以将有见识的代理视为常规代理，可以将她的注意力限制在可能的路径的某些子集中。我们使用Hou和Obłój的结果[Finance Stoch。，22（2018），pp。511--567]，基于有信心的稳健方法为知情的代理商建立定价对冲二元性。我们的结果涵盖了多种情况，包括交易开始之前到达的信息，在欧洲期权的静态头寸形成之后但在动态交易开始之前或在到期前的某个时刻到达。对于后者，我们证明了对冲值满足了适当的动态规划原则，这是具有独立利益的。最后，我们探讨了我们的结果如何使我们能够对信息进行可靠的评估。