Convergence of the Equilibrium Prices in a Family of Financial Models

18 Pages Posted: 15 Aug 2007

See all articles by Elyes Jouini

Elyes Jouini

Univ. Paris Dauphine - CEREMADE

Date Written: June 2001

Abstract

In 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 de_ned by Bizid, Jouini and Koehl (1998) in discrete time or Jouini and Napp (1999) in continuous time.

Keywords: equilibrium prices, arbitrage pricing

JEL Classification: G10

Suggested Citation

Jouini, Elyes, Convergence of the Equilibrium Prices in a Family of Financial Models (June 2001). Available at SSRN: https://ssrn.com/abstract=1007185 or http://dx.doi.org/10.2139/ssrn.1007185

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