Incomplete markets: convergence of options values under the minimal martingale measure
1999 ◽
Vol 31
(4)
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pp. 1058-1077
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Keyword(s):
In the setting of incomplete markets, this paper presents a general result of convergence for derivative assets prices. It is proved that the minimal martingale measure first introduced by Föllmer and Schweizer is a convenient tool for the stability under convergence. This extends previous well-known results when the markets are complete both in discrete time and continuous time. Taking into account the structure of stock prices, a mild assumption is made. It implies the joint convergence of the sequences of stock prices and of the Radon-Nikodym derivative of the minimal measure. The convergence of the derivatives prices follows.This property is illustrated in the main classes of financial market models.
1999 ◽
Vol 31
(04)
◽
pp. 1058-1077
◽
2008 ◽
Vol 11
(01)
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pp. 87-106
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Keyword(s):
2021 ◽
Vol 1955
(1)
◽
pp. 012058
Keyword(s):
2021 ◽
Vol 1
(12)
◽
pp. 69-77
2013 ◽
Vol 278-280
◽
pp. 1687-1691
2019 ◽
Vol 8
(4)
◽
pp. 3660-3664
Keyword(s):