We analyze the joint convergence of sequences of discounted stock prices and the Radon-Nicodym derivatives of the minimal martingale measure when interest rates are stochastic. Therefrom we deduce the convergence of option values in either complete or incomplete markets. We particularize the general reuslt to two main examples: a discrete time i.i.d. approximation of a Merton type pricing model for options on stocks and the trinomial tree of Hull and White for interest rate derivatives.
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Paper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number
9734.
Length: 14 pages Date of creation: 1997 Date of revision: Handle: RePEc:fth:pnegmi:9734
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