On Modeling Questions In Security Valuation
指出标准Black-Scholes模型在期权估值中的不足，提出用离散时间模型逼近连续价格路径，并证明离散交易策略的收益收敛，显示Black-Scholes模型的稳健性。
After mentioning some deficiencies of the standard Black‐Scholes model for the valuation of call options, we discuss discrete models which allow price changes of the underlying security at discrete time points only. It is shown that, given any distribution with a moment higher than 2, the paths of the Black‐Scholes stock price process can be approximated uniformly as closely as one wishes by discrete paths generated by this distribution. Based on this approximation, discrete‐time trading strategies are defined. Convergence (in measure and almost surely) of the corresponding financial gain processes is obtained. the results show the robustness of the Black‐Scholes model.