Is there a relationship between Risk Neutral Pricing framework and Nash Equilibria?
Based on the Fundamental Theorem of Asset Pricing, the risk neutral price of a contingent claim on an asset in a liquid, arbitrage free market can be determined by switching to an equivalent measure:
where is the risk neutral price at time , is the asset process, is the contingent claim and
the discount process.
My question (admittedly a bit vague): Is there an an equivalent interpretation of this framework from the game theory point of view which yields the "risk neutral price" as some sort of equilibrium strategy of the market participants?
via Ali Fathi at StackExchange