Abstract: We give a rather fine comparison of binomial and Gaussian distribution functions on the whole real line and discuss some related quite classical results.
As an application we answer an open question from recent work of David Kreps and Walter Schachermayer on 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.
This is based on joint work with Walter Schachermayer.
Comparing binomial and Gaussian tails with an application to utility maximization
29.04.2021 15:30 - 16:30
Location:
live stream via Zoom