Convergence of optimal expected utility for a sequence of binomial models-Reference-Cited by-同舟云学术

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Convergence of optimal expected utility for a sequence of binomial models

Published:2021-06-28 Issue:4 Volume:31 Page:1315-1331
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Hubalek Friedrich¹^ORCID,Schachermayer Walter²^ORCID

Affiliation:

1. Research Unit of Financial and Actuarial Mathematics TU Wien Vienna Austria

2. Faculty of Mathematics University of Vienna Vienna Austria

Funder

Vienna Science and Technology Fund

Austrian Science Fund

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12326

Reference44 articles.

1. Tutorial on large deviations for the binomial distribution

2. Sensitivity analysis for expected utility maximization in incomplete Brownian market models

3. Some Approximations to the Binomial Distribution Function

4. Continuity of utility maximization under weak convergence

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1. Convergence Analysis of EM Method in BSM Option Pricing Model;Journal of Physics: Conference Series;2022-06-01

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