From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
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Publication:4345920
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Cites work
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Cited in
(52)- Lenglart domination inequalities for \(g\)-expectations
- Valuing flexibility: An impulse control framework
- Dynamic spanning without probabilities
- Asymptotic asset pricing and bubbles
- Weak convergence of tree methods to price options on defaultable assets
- Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
- Explicit form and robustness of martingale representations.
- Error distributions for random grid approximations of multidimensional stochastic integrals
- Continuity of utility maximization under weak convergence
- Market delay and \(G\)-expectations
- Continuous-time duality for superreplication with transient price impact
- Weak limits of random coefficient autoregressive processes and their application in ruin theory
- The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process
- Discrete and continuous time extremes of Gaussian processes
- Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
- Rough path recursions and diffusion approximations
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- The weak convergence of Greek symbols for prices of European options: from discrete time to continuous
- Resilient price impact of trading and the cost of illiquidity
- Weak convergence to stochastic integrals for econometric applications
- Super-replication with nonlinear transaction costs and volatility uncertainty
- Vague Convergence of Semimartingale Random Measures
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
- Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model
- Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
- Duality and convergence for binomial markets with friction
- Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
- Hedging of game options with the presence of transaction costs
- Stochastic differential utility as the continuous-time limit of recursive utility
- Toward A Convergence Theory For Continuous Stochastic Securities Market Models1
- A Nonstandard Approach to Option Pricing
- On Modeling Questions In Security Valuation
- From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing
- Option pricing with hedging at fixed trading dates
- Convergence of Jump-Diffusion Modelsto the Black–Scholes Model
- Efficient option valuation using trees
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- Constructing discrete approximations algorithms for financial calculus from weak convergence results
- Hyperfinite construction of \(G\)-expectation
- The Girsanov theorem without (so much) stochastic analysis
- The scaling limit of superreplication prices with small transaction costs in the multivariate case
- Stability results for martingale representations: the general case
- Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
- Weak approximation of \(G\)-expectations
- Limit theorems for stochastic integrals with long memory processes
- Robust market convergence: from discrete to continuous time
- The value of insider information for super-replication with quadratic transaction costs
- Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models
- Weak convergence of stochastic integrals on Skorokhod space in Skorokhod's J₁ and M₁ topologies
- Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate
- Weak convergence of equity derivatives pricing with default risk
- The structure of optimal consumption streams in general incomplete markets
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