Convergence of the equilibrium prices in a family of financial models (Q1424722): Difference between revisions
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Revision as of 13:30, 16 February 2024
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| Language | Label | Description | Also known as |
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| English | Convergence of the equilibrium prices in a family of financial models |
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Convergence of the equilibrium prices in a family of financial models (English)
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16 March 2004
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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.
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equilibrium pricing
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arbitrage pricing
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convergence
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incomplete markets
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