Asymptotic pricing in large financial markets
classification
💱 q-fin.MF
math.PR
keywords
largeasymptoticfinancialmarketspricingalphaarbitragebehavior
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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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