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arXiv · 1512.06582

Asymptotic pricing in large financial markets

Michał Barski
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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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Michał Barski. 2015-12-21. Asymptotic pricing in large financial markets. https://arxiv.org/abs/1512.06582

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