Asymptotic pricing in large financial markets

Micha{\l} Barski

Papers from arXiv.org

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 $\alpha$~-~quantile price is shown. The large Black-Scholes model is carefully examined.

Date: 2015-12
New Economics Papers: this item is included in nep-fmk
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Published in Mathematical Methods of Operation Research, 2007, 66, 1-20

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