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~institution:"Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain"
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Weak convergence
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discrete rebalancing
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incomplete markets
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marked point process
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minimal martingale measure
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option pricing
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Prigent, J.-L.
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Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
University of Bonn, Germany
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Option Pricing with Discrete Rebalancing
Prigent, J.-L.
;
Renault, O.
;
Scaillet, O.
-
Institut de Recherche Économique et Sociale (IRES), …
-
1999
incomplete. We first characterize the equivalent martingale measures. An explicit formula based on the minimal
martingale
measure
…
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