Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case

Jean-Luc Prigent

Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

Abstract: 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.

Keywords: PRICES; INTEREST RATE; ECONOMETRICS; CONVERGENCE (search for similar items in EconPapers)
JEL-codes: D52 E43 G13 (search for similar items in EconPapers)
Pages: 15 pages
Date: 1997
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Citations: View citations in EconPapers (3)

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Working Paper: Incomplete markets: Convergence of options values under the minimal martingale measure. The multidimensional case (1997)
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