Scaillet, O.; Prigent, J.-L.; Lesne, J.-P. - In: Finance and Stochastics 4 (2000) 1, pp. 81-93
martingale measure when interest rates are stochastic. Therefrom we deduce the convergence of option values in either complete or …We analyze the joint convergence of sequences of discounted stock prices and Radon-Nicodym derivatives of the minimal …