Weak Convergence of the Financial Gain Process'
نویسنده
چکیده
Conditions suitable for applications in finance are given for the weak convergence (or convergence in probability) of stochastic integrals. For example, consider a sequence Sn of security price processes converging in distribution to S and a sequence 8" of trading strategies converging in distribution to 0. We survey conditions under which the financial gain process J 0" dSn converges in distribution to J 0 dS. Examples include convergence from discreteto continuous-time settings and, in particular, generalizations of the convergence of binomial option replication models to the BlackScholes model. Counterexamples are also provided.
منابع مشابه
From Discrete to Continuous Time Finance : Weak Convergence of the Financial Gain Process
Conditions, suitable for applications in finance, are given for the weak convergence (or convergence in probability) of stochastic integrals. For example, consider a sequence S of security price processes converging in distribution to S and a sequence θ of trading strategies converging in distribution to θ. We survey conditions under which the financial gain process ∫ θ dS converges in distribu...
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