From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing

DOI10.1111/J.1467-9965.1993.TB00081.XMaRDI QIDQ4372003zbMATH OpenOpenAlexFDO

Authors Nigel J. Cutland, P. Ekkehard Kopp, Walter Willinger

Publication date 5 April 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00081.x

zbMATH Keywords

option pricingnonstandard analysis\(D^ 2\)-convergencediscrete and continuous financial modelshedge portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Convergence in incomplete market models
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹

Cites work

• scientific article; zbMATH DE number 3933369 (Why is no real title available?)
• scientific article; zbMATH DE number 193633 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A Nonstandard Characterization of Weak Convergence
• A nonstandard treatment of options driven by poisson processes
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Martingales and stochastic integrals in the theory of continuous trading
• On the Random Walk and Brownian Motion
• Optimal consumption-portfolio policies: A convergence from discrete to continuous time models
• Pathwise stochastic integration and applications to the theory of continuous trading
• Star-Finite Representations of Measure Spaces
• The analysis of finite security markets using martingales
• Weak Limits of Measures and the Standard Part Map

Cited in

(10)

• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model
• The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process
• First steps towards an equilibrium theory for Lévy financial markets
• Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
• Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• A higher-order interactive hidden Markov model and its applications
• The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black–Scholes model
• scientific article; zbMATH DE number 5856161 (Why is no real title available?)

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