Incomplete markets: convergence of options values under the minimal martingale measure

DOI10.1239/aap/1029955260zbMath0949.60041OpenAlexW2020688659MaRDI QIDQ4954109

Jean-Luc Prigent

Publication date: 22 November 2000

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1029955260

zbMATH Keywords

convergenceincomplete marketsweak convergence of processesoption pricesminimal martingale measure

Mathematics Subject Classification ID

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