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Asymptotic pricing in large financial markets

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  • Michał Baran

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

Suggested Citation

  • Michał Baran, 2007. "Asymptotic pricing in large financial markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(1), pages 1-20, August.
    • Handle: RePEc:spr:mathme:v:66:y:2007:i:1:p:1-20
    DOI: 10.1007/s00186-006-0144-7
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    References listed on IDEAS

    as
    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. 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.
    3. Y.M. Kabanov & D.O. Kramkov, 1998. "Asymptotic arbitrage in large financial markets," Finance and Stochastics, Springer, vol. 2(2), pages 143-172.
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    Cited by:

    1. Laurence Carassus & Miklos Rasonyi, 2019. "From small markets to big markets," Papers 1907.05593, arXiv.org, revised Oct 2020.
    2. Miklos Rasonyi, 2015. "Maximizing expected utility in the Arbitrage Pricing Model," Papers 1508.07761, arXiv.org, revised Mar 2017.

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    More about this item

    Keywords

    Large financial market; Pricing; Quantile hedging; Risk measures; 60G42; 91B28; 91B24; 91B30; G11; G12;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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