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

DOI10.1111/J.1467-9965.1993.TB00081.XzbMATH Open0884.90022OpenAlexW2051977592MaRDI QIDQ4372003FDOQ4372003

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

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• 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
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• The analysis of finite security markets using martingales
• Title not available (Why is that?)
• A nonstandard treatment of options driven by poisson processes
• Star-Finite Representations of Measure Spaces
• A Nonstandard Characterization of Weak Convergence
• On the Random Walk and Brownian Motion
• Pathwise stochastic integration and applications to the theory of continuous trading
• Weak Limits of Measures and the Standard Part Map
• Optimal consumption-portfolio policies: A convergence from discrete to continuous time models

Cited In (10)

• Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation
• The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process
• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
• A higher-order interactive hidden Markov model and its applications
• Title not available (Why is that?)
• The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black–Scholes model
• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• First steps towards an equilibrium theory for Lévy financial markets
• Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets

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