scientific article; zbMATH DE number 797368

zbMATH Open0827.60026MaRDI QIDQ4848528FDOQ4848528

Authors: Wolfgang J. Runggaldier, Martin Schweizer 

Publication date: 26 November 1995

Title of this publication is not available (Why is that?)

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

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)

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
• Title not available (Why is that?)
• Convergence of Jump-Diffusion Modelsto the Black–Scholes Model
• Convergence of option rewards for multivariate price processes

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