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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
John Wiley and Sons Inc.
2020
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| Materias: | |
| 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 |