Convergence of the equilibrium prices in a family of financial models

DOI10.1007/S007800200099MaRDI QIDQ1424722zbMATH OpenOpenAlexFDO

Authors Elyès Jouini

Publication date 16 March 2004

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL http://halshs.archives-ouvertes.fr/halshs-00167153/en/

zbMATH Keywords

arbitrage pricingconvergenceequilibrium pricingincomplete markets

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Strong limit theorems (60F15) General theory of stochastic processes (60G07) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91G99)

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.

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(4)

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