From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹

DOI10.1111/j.1467-9965.1992.tb00022.xzbMath0900.90046OpenAlexW1997345593MaRDI QIDQ4345920

Philip E. Protter, J. Darrell Duffie

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1992.tb00022.x

zbMATH Keywords

weak convergence semimartingales Black-Scholes model stochastic integrals option valuation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

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Cites Work

From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1

From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹