  We study an equilibrium-based continuous asset pricing problem for the
securities market. In the previous work [16], we have shown that a certain
price process, which is given by the solution to a forward backward stochastic
differential equation of conditional McKean-Vlasov type, asymptotically clears
the market in the large population limit. In the current work, under suitable
conditions, we show the existence of a finite agent equilibrium and its strong
convergence to the corresponding mean-field limit given in [16]. As an
important byproduct, we get the direct estimate on the difference of the
equilibrium price between the two markets; one consisting of heterogeneous
agents of finite population size and the other of homogeneous agents of
infinite population size.
