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Asymptotic pricing in large financial markets

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  • Micha{l} Barski

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.

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  • Micha{l} Barski, 2015. "Asymptotic pricing in large financial markets," Papers 1512.06582, arXiv.org.
  • Handle: RePEc:arx:papers:1512.06582
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    References listed on IDEAS

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    1. Irene Klein, 2000. "A Fundamental Theorem of Asset Pricing for Large Financial Markets," Mathematical Finance, Wiley Blackwell, vol. 10(4), pages 443-458, October.
    2. Y.M. Kabanov & D.O. Kramkov, 1998. "Asymptotic arbitrage in large financial markets," Finance and Stochastics, Springer, vol. 2(2), pages 143-172.
    3. Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, vol. 3(3), pages 251-273.
    4. J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
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