In 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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Paper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number
9735.
Length: 15 pages Date of creation: 1997 Date of revision: Handle: RePEc:fth:pnegmi:9735
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