Asymptotic pricing in large financial markets
Micha{\l} Barski
TL;DR
This paper investigates the asymptotic behavior of pricing and hedging in large financial markets, exploring arbitrage opportunities and analyzing the large Black-Scholes model to understand pricing limits.
Contribution
It establishes a connection between asymptotic arbitrage and the behavior of the alpha-quantile price in large markets, providing new insights into pricing limits.
Findings
Connection between asymptotic arbitrage and alpha-quantile price behavior
Analysis of the large Black-Scholes model
Insights into pricing limits in large markets
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 ~-~quantile price is shown. The large Black-Scholes model is carefully examined.
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Complex Systems and Time Series Analysis