This article reviews some recently developed approximation schemes for financial markets with continuous trading. Two methods for approximating continuous-time stochastic securities market models whose exogenously given prices have continuous sample paths are described and compared One method...

ARCH models have become popular for modeling financial time series. They seem, at first, however, to be incompatible with the option pricing approach of Black, Scholes, Merton et al., because they are discrete-time models and possess too much variability. We show that completeness of the market...