The Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies Hardback
by David M. (Stanford University, California) Kreps
Part of the Econometric Society Monographs series
Hardback
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Description
This book examines whether continuous-time models in frictionless financial economies can be well approximated by discrete-time models.
It specifically looks to answer the question: in what sense and to what extent does the famous Black-Scholes-Merton (BSM) continuous-time model of financial markets idealize more realistic discrete-time models of those markets?
While it is well known that the BSM model is an idealization of discrete-time economies where the stock price process is driven by a binomial random walk, it is less known that the BSM model idealizes discrete-time economies whose stock price process is driven by more general random walks.
Starting with the basic foundations of discrete-time and continuous-time models, David M.
Kreps takes the reader through to this important insight with the goal of lowering the entry barrier for many mainstream financial economists, thus bringing less-technical readers to a better understanding of the connections between BSM and nearby discrete-economies.
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Out of StockMore expected soonContact us for further information
- Format:Hardback
- Pages:214 pages, Worked examples or Exercises; 1 Tables, black and white; 7 Line drawings, black and white
- Publisher:Cambridge University Press
- Publication Date:19/09/2019
- Category:
- ISBN:9781108486361
Information
-
Out of StockMore expected soonContact us for further information
- Format:Hardback
- Pages:214 pages, Worked examples or Exercises; 1 Tables, black and white; 7 Line drawings, black and white
- Publisher:Cambridge University Press
- Publication Date:19/09/2019
- Category:
- ISBN:9781108486361