scientific article; zbMATH DE number 797368

MaRDI QIDQ4848528zbMATH OpenFDO

Authors Wolfgang J. Runggaldier, Martin Schweizer

Publication date 26 November 1995

zbMATH Keywords

convergenceoption pricingincomplete marketsjump-diffusionminimal martingale measurelocally risk-minimizing trading strategies

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

Recommendations

• Incomplete markets: convergence of options values under the minimal martingale measure
• Convergence in incomplete market models
• Option pricing in incomplete discrete markets
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Convergence of discrete time option pricing models under stochastic interest rates

Cited in

(6)

• When does convergence of asset price processes imply convergence of option prices?
• Claim pricing and hedging under market incompleteness and ``mean-variance preferences
• An approximation of American option prices in a jump-diffusion model
• scientific article; zbMATH DE number 2152220 (Why is no real title available?)
• Convergence of Jump-Diffusion Modelsto the Black–Scholes Model
• Convergence of option rewards for multivariate price processes

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