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Weak Convergence of Financial Markets

  • Jean-Luc Prigent
Chapter
Part of the Springer Finance book series (FINANCE)

Abstract

Throughout this chapter, the following problem is examined: assume that a discrete time financial model and a continuous one can both explain the dynamics of given statistical financial data: This means that the discrete time primitive assets S n weakly converge to the continuous ones S, under the statistical probabilities ℙ n when periods between trades shrink to zero:
$${({S_{n,t}})_t}\mathop \Rightarrow\limits^{\mathcal{L}(({\mathbb{R}^p}))|{\mathbb{P}_n})} {({S_t})_t}$$
.

Keywords

Financial Market Stock Price Weak Convergence Option Price Trading Strategy 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Jean-Luc Prigent
    • 1
  1. 1.THEMAUniversity of CergyCergyFrance

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