Weak Convergence of Hedging Strategies of Contingent Claims

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Weak Convergence of Hedging Strategies of Contingent Claims

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J.L. Prigent
O. Scaillet

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Paper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 2000-50.

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Date of creation: 2000
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Handle: RePEc:ema:worpap:2000-50

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Paper
- Jean-Luc PRIGENT & Olivier SCAILLET, 2002. "Weak Convergence of Hedging Strategies of Contingent Claims," FAME Research Paper Series rp39, International Center for Financial Asset Management and Engineering. [Downloadable!]

This paper has been announced in the following NEP Reports:

NEP-ALL-2001-10-22 (All new papers)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June. [Downloadable!] (restricted)
O. Scaillet & J.-L. Prigent & J.-P. Lesne, 2000. "Convergence of discrete time option pricing models under stochastic interest rates," Finance and Stochastics, Springer, vol. 4(1), pages 81-93. [Downloadable!] (restricted)
Other versions:
- Lesne, J.-P. & Prigent, J.-L. & Scaillet, O., 1997. "Convergence of Discrete Time Option Pricing Models under Stochastic Interest Rates," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1998026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Sep 1998. [Downloadable!]
- Jean-Philippe Lesne ; Jean-Luc Prigent ; Olivier Scaillet, . "Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates," Working Papers 98-51, Centre de Recherche en Economie et Statistique. [Downloadable!]
Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "Option Pricing with Discrete Rebalancing," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999029, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Oct 1999. [Downloadable!]
Other versions:
- Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET, 2002. "Option Pricing with Discrete Rebalancing," FAME Research Paper Series rp55, International Center for Financial Asset Management and Engineering. [Downloadable!]
- J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Jean -Luc Prigent ; Olivier Renault ; Olivier Scaillet, . "Option Pricing with Discrete Rebalancing," Working Papers 99-61, Centre de Recherche en Economie et Statistique. [Downloadable!]
- Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004. "Option pricing with discrete rebalancing," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January. [Downloadable!] (restricted)
Schweizer, Martin, 1992. "Martingale densities for general asset prices," Journal of Mathematical Economics, Elsevier, vol. 21(4), pages 363-378. [Downloadable!] (restricted)
Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-64, May.
Runggaldier, Wolfgang J. & Martin Schweizer, 1995. "Convergence of Option Values under Incompleteness," Discussion Paper Serie B 333, University of Bonn, Germany.

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