Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

DOI10.3982/TE4034MaRDI QIDQ5164447zbMATH OpenOpenAlexFDO

Authors David M. Kreps, Walter Schachermayer

Publication date 11 November 2021

Published in Theoretical Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.3982/te4034

zbMATH Keywords

Black-Scholes-Merton modelmarket completenesssynthesis of contingent claims

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• The Black-Scholes-Merton model as an idealization of discrete-time economies
• Convergence of optimal expected utility for a sequence of discrete-time markets
• Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹
• Asymptotics of riskless profit under selling of discrete time call options
• On the rate of convergence of prices of barrier options with discrete and continuous time

Cited in

(4)

• Integral representation in the theory of continuous trading
• The Black-Scholes-Merton model as an idealization of discrete-time economies
• Convergence of optimal expected utility for a sequence of discrete-time markets
• Convergence of optimal expected utility for a sequence of binomial models

This page was built for publication: Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5164447)