Convergence of the equilibrium prices in a family of financial models
type: Item
instance of: scholarly article
title: Convergence of the equilibrium prices in a family of financial models
zbMATH Open document ID: 1040.91051
author: Elyès Jouini
published in: Finance and Stochastics
publication date: 2004-03-16T00:00:00Z
full work available at URL: en
review text: 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.
Mathematics Subject Classification ID: 91G99
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 60F15
Mathematics Subject Classification ID: 60E05
Mathematics Subject Classification ID: 60G07
zbMATH DE Number: 2059114
zbMATH Keywords: equilibrium pricing
zbMATH Keywords: arbitrage pricing
zbMATH Keywords: convergence
zbMATH Keywords: incomplete markets
reviewed by: Yuliya S. Mishura
MaRDI profile type: Publication
OpenAlex ID: W3121867324
DOI: 10.1007/S007800200099
description: scientific article; zbMATH DE number 2059114