Weak Convergence of Financial Markets

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


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:
$${({S_{n,t}})_t}\mathop \Rightarrow\limits^{\mathcal{L}(({\mathbb{R}^p}))|{\mathbb{P}_n})} {({S_t})_t}$$


Financial Market Stock Price Weak Convergence Option Price Trading Strategy 
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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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