Convergence in incomplete market models
The problem of pricing and hedging of contingent claims in incomplete markets has lead to the development of various valuation methodologies. This thesis examines the mean-variance and variance-optimal approaches to risk-minimisation and shows that these are robust under the convergence from discret...
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University of Hull
1998
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.301643 |