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Asymptotic pricing in large financial markets. (English)
Math. Methods Oper. Res. 66, No. 1, 1-20 (2007).
Summary: The problem of hedging and pricing sequences of contingent claims in large financial markets is studied. A connection between asymptotic arbitrage and behavior of the $α$-quantile price is shown. The large Black-Scholes model is carefully examined.
Classification: M40
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