Published in:To appear in Mathematics and Financial Economics
Extent:
1 Online-Ressource (40 p)
Language:
English
DOI:
10.2139/ssrn.3278294
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 4, 2018 erstellt
Description:
In this paper we find sufficient conditions for the continuity of the value of the utility maximizationproblem from terminal wealth with respect to the convergence in distribution of the underlying processes. We provide several examples which illustrate that without these conditions, we cannot generally expect continuity to hold. Finally, we apply our results to the computation of the minimum shortfall in the Heston model by building an appropriate lattice approximation