Convergence of the equilibrium prices in a family of financial models
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.
scientific article; zbMATH DE number 2059114