Asymptotic pricing in large financial markets |
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| Authors: | Michał Baran |
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| Affiliation: | (1) Mathematics Department of Cardinal Stefan Wyszyński, University in Warsaw, ul. Dewajtis 5, 01-815 Warsaw, Poland |
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| Abstract: | The problem of hedging and pricing sequences of contingent claims in large financial markets is studied. Connection between asymptotic arbitrage and behavior of the α-quantile price is shown. The large Black–Scholes model is carefully examined. |
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| Keywords: | Large financial market Pricing Quantile hedging Risk measures |
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