Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure

Jean-Luc Prigent
Advances in Applied Probability
Vol. 31, No. 4 (Dec., 1999), pp. 1058-1077
Stable URL: http://www.jstor.org/stable/1428344
Page Count: 20
  • Read Online (Free)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure
Preview not available

Abstract

In the setting of incomplete markets, this paper presents a general result of convergence for derivative assets prices. It is proved that the minimal martingale measure first introduced by Föllmer and Schweizer is a convenient tool for the stability under convergence. This extends previous well-known results when the markets are complete both in discrete time and continuous time. Taking into account the structure of stock prices, a mild assumption is made. It implies the joint convergence of the sequences of stock prices and of the Radon-Nikodym derivative of the minimal measure. The convergence of the derivatives prices follows. This property is illustrated in the main classes of financial market models.

Page Thumbnails

  • Thumbnail: Page 
1058
    1058
  • Thumbnail: Page 
1059
    1059
  • Thumbnail: Page 
1060
    1060
  • Thumbnail: Page 
1061
    1061
  • Thumbnail: Page 
1062
    1062
  • Thumbnail: Page 
1063
    1063
  • Thumbnail: Page 
1064
    1064
  • Thumbnail: Page 
1065
    1065
  • Thumbnail: Page 
1066
    1066
  • Thumbnail: Page 
1067
    1067
  • Thumbnail: Page 
1068
    1068
  • Thumbnail: Page 
1069
    1069
  • Thumbnail: Page 
1070
    1070
  • Thumbnail: Page 
1071
    1071
  • Thumbnail: Page 
1072
    1072
  • Thumbnail: Page 
1073
    1073
  • Thumbnail: Page 
1074
    1074
  • Thumbnail: Page 
1075
    1075
  • Thumbnail: Page 
1076
    1076
  • Thumbnail: Page 
1077
    1077