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dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.date.accessioned2009-06-18T15:54:50Z
dc.date.available2009-06-18T15:54:50Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/359
dc.language.isoenen
dc.subjectEquilibrium Pricingen
dc.subjectArbitrage Pricingen
dc.subjectConvergenceen
dc.subjectIncomplete Marketsen
dc.subject.ddc332en
dc.subject.classificationjelD52en
dc.titleConvergence of the equilibrium prices in a family of financial modelsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper, we consider 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. Different authors pointed out that we do not have necessarily convergence of the arbitrage pricing intervals in that context. We prove here that we have very good convergence properties for the equilibrium pricing interval as defined by Bizid, Jouini and Koehl (1998) in discrete time or Jouini and Napp (1999) in continuous time.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol7en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2003-10
dc.relation.isversionofjnlpages491-507en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s007800200099en
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00167153/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen


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