<div class="csl-bib-body">
<div class="csl-entry">Hubalek, F., & Schachermayer, W. (2021). Convergence of optimal expected utility for a sequence of binomial models. <i>Mathematical Finance</i>, <i>31</i>(4), 1315–1331. https://doi.org/10.1111/mafi.12326</div>
</div>
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dc.identifier.issn
0960-1627
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/138695
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dc.description.abstract
We consider the convergence of the solution of a discrete-time utility maximization problem for a sequence of binomial models to the Black-Scholes-Merton model for general utility functions. In previous work by D. Kreps and the second named author a counter-example for positively skewed non-symmetric binomial models has been constructed, while the symmetric case was left as an open problem. In the present article we show that convergence holds for the symmetric case and for negatively skewed binomial models. The proof depends on some rather fine estimates of the tail behaviors of binomial random variables. We also review some general results on the convergence of discrete models to Black-Scholes-Merton as developed in a recent monograph by D. Kreps.
en
dc.language.iso
en
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dc.publisher
WILEY
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dc.relation.ispartof
Mathematical Finance
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dc.subject
Applied Mathematics
en
dc.subject
Social Sciences (miscellaneous)
en
dc.subject
Economics and Econometrics
en
dc.subject
Accounting
en
dc.subject
Finance
en
dc.title
Convergence of optimal expected utility for a sequence of binomial models
en
dc.type
Artikel
de
dc.type
Article
en
dc.description.startpage
1315
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dc.description.endpage
1331
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dc.type.category
Original Research Article
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tuw.container.volume
31
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tuw.container.issue
4
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tuw.journal.peerreviewed
true
-
tuw.peerreviewed
true
-
tuw.researchTopic.id
A4
-
tuw.researchTopic.name
Mathematical Methods in Economics
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tuw.researchTopic.value
100
-
dcterms.isPartOf.title
Mathematical Finance
-
tuw.publication.orgunit
E105-05 - Forschungsbereich Stochastische Finanz- und Versicherungsmathematik
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tuw.publisher.doi
10.1111/mafi.12326
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dc.identifier.eissn
1467-9965
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dc.description.numberOfPages
17
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tuw.author.orcid
0000-0002-3448-9196
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wb.sci
true
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wb.sciencebranch
Mathematik
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wb.sciencebranch.oefos
1010
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wb.facultyfocus
Wirtschaftsmathematik und Stochastik
de
wb.facultyfocus
Mathematical Methods in Economics and Stochastics
en
wb.facultyfocus.faculty
E100
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item.openairetype
research article
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item.fulltext
no Fulltext
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item.openairecristype
http://purl.org/coar/resource_type/c_2df8fbb1
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none
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item.cerifentitytype
Publications
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item.languageiso639-1
en
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crisitem.author.dept
E105-05 - Forschungsbereich Stochastische Finanz- und Versicherungsmathematik
-
crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik