Some possible stock price distributions under incompleteness of the market
This paper analyses a trinomial version of the classical binomial model of Cox-Ross-Rubinstein. It considers a general structure for the transitions and studies the possible limits when the time steps tend to zero. It gives conditions for those transitions that result in a (log)-normal, (log)-Poisson or mixed distribution for the stock.
scientific article; zbMATH DE number 2082404