Convergence of optimal expected utility for a sequence of binomial models

  title={Convergence of optimal expected utility for a sequence of binomial models},
  author={Friedrich Hubalek and Walter Schachermayer},
  journal={Mathematical Finance},
  pages={1315 - 1331}
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… 
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