Incomplete markets : Convergence of options values under the minimal martingale measure. The multidimensional case
AbstractIn the setting of incomplete markets, this paper presents a general result of weak convergence for derivative assets prices. It is proved that the minimal martingale measure first introduced by Follmer and Schweizer is a convenient tool for the stabilization under convergence. This extends previous well-known results when the markets are complete both in discrete time and continuous time. The result is extended to markets with several risky assets and generalizes a previous work on this subject.
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Bibliographic InfoPaper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 97-35.
Date of creation: 1997
Date of revision:
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Other versions of this item:
- Prigent, J.L., 1997. "Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case," Papers 9735, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Jesús P. Colino, 2008. "Weak convergence in credit risk," Statistics and Econometrics Working Papers ws085518, Universidad Carlos III, Departamento de Estadística y Econometría.
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