Convergence of the equilibrium prices in a family of financial models (Q1424722)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Convergence of the equilibrium prices in a family of financial models |
scientific article; zbMATH DE number 2059114
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence of the equilibrium prices in a family of financial models |
scientific article; zbMATH DE number 2059114 |
Statements
Convergence of the equilibrium prices in a family of financial models (English)
0 references
16 March 2004
0 references
The author considers a family of complete or incomplete financial models such that the price processes of the financial assets converge in distribution to those in a limit model. It is shown that the equilibrium pricing interval that is defined as the set of all expected values of the terminal payoff of a given asset with respect to all equivalent probability measures with densities `in reverse order' of the total wealth of the economy has very good convergence properties. Relations with the previous convergence results are discussed.
0 references
equilibrium pricing
0 references
arbitrage pricing
0 references
convergence
0 references
incomplete markets
0 references
