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Asymptotic pricing in large financial markets

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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.

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Authors and Affiliations

  1. Mathematics Department of Cardinal Stefan Wyszyński, University in Warsaw, ul. Dewajtis 5, 01-815, Warsaw, Poland

    Michał Baran

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  1. Michał Baran
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Correspondence to Michał Baran.

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Baran, M. Asymptotic pricing in large financial markets. Math Meth Oper Res 66, 1–20 (2007). https://doi.org/10.1007/s00186-006-0144-7

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  • DOI: https://doi.org/10.1007/s00186-006-0144-7

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