Asymptotic pricing in large financial markets

Michał Baran ()

Mathematical Methods of Operations Research, 2007, vol. 66, issue 1, 20 pages

Abstract: The problem of hedging and pricing sequences of contingent claims in large financial markets is studied. Connection between asymptotic arbitrage and behavior of the α-quantile price is shown. The large Black–Scholes model is carefully examined. Copyright Springer-Verlag 2007

Keywords: Large financial market; Pricing; Quantile hedging; Risk measures; 60G42; 91B28; 91B24; 91B30; G11; G12 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s00186-006-0144-7

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