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Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Kreps, David M.; Schachermayer, Walter - In: Theoretical Economics 16 (2021) 1, pp. 25-47

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...

Persistent link: https://www.econbiz.de/10013189063

Advances in economics and econometrics: theory and applications ; Vol. 1

Kreps, David M. (ed.); Wallis, Kenneth Frank (ed.) - 1997

Persistent link: https://www.econbiz.de/10000618529

Advances in economics and econometrics: theory and applications ; Vol. 2

Kreps, David M. (ed.); Wallis, Kenneth Frank (ed.) - 1997

Persistent link: https://www.econbiz.de/10000618530

Advances in economics and econometrics: theory and applications ; Vol. 3

Kreps, David M. (ed.); Wallis, Kenneth Frank (ed.) - 1997

Persistent link: https://www.econbiz.de/10000618531

Advances in economics and econometrics: theory and applications : seventh World Congress ; [papers presented ... of the seventh World Congress of the Econometric Society, held in T...

Kreps, David M. (contributor); … - 1997

Persistent link: https://www.econbiz.de/10000601998

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete‐time markets

Kreps, David M.; Schachermayer, Walter - In: Theoretical Economics 16 (2021) 1, pp. 25-47

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...

Persistent link: https://www.econbiz.de/10012637454