Convergence of optimal expected utility for a sequence of discrete‐time markets

We examine Kreps' conjecture that optimal expected utility in the classic Black–Scholes–Merton (BSM) economy is the limit of optimal expected utility for a sequence of discrete‐time economies that “approach” the BSM economy in a natural sense: The nth discrete‐time economy is generated by a sca...

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Detalles Bibliográficos
Autores principales: Kreps, David M., Schachermayer, Walter
Formato: Online Artículo Texto
Lenguaje:English
Publicado: John Wiley and Sons Inc. 2020
Materias:
Original Articles
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7540176/
https://www.ncbi.nlm.nih.gov/pubmed/33041535
http://dx.doi.org/10.1111/mafi.12277

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7540176/
https://www.ncbi.nlm.nih.gov/pubmed/33041535
http://dx.doi.org/10.1111/mafi.12277

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