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Convergence of optimal expected utility for a sequence of binomial models
We consider the convergence of the solution of a discrete‐time utility maximization problem for a sequence of binomial models to the Black‐Scholes‐Merton model for general utility functions. In previous work by D. Kreps and the second named author a counter‐example for positively skewed non‐symmetri...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
John Wiley and Sons Inc.
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9291085/ https://www.ncbi.nlm.nih.gov/pubmed/35874553 http://dx.doi.org/10.1111/mafi.12326 |