We examine the connection between discrete-time models of financial markets and the celebrated Black--Scholes--Merton (BSM) continuous-time model in which "markets are complete." We prove that if (a) the probability law of a sequence of discrete-time models converges to the law of the BSM model,...

We examine the connection between discrete-time models of financial markets and the celebrated Black--Scholes--Merton (BSM) continuous-time model in which ''markets are complete." Suppose that (a) the probability law of a sequence of discrete-time models converges to the law of the BSM model and...