The Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies (Hardcover)

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.

General

Imprint:	Cambridge UniversityPress
Country of origin:	United Kingdom
Series:	Econometric Society Monographs
Release date:	September 2019
Authors:	David M. Kreps
Dimensions:	235 x 157 x 15mm (L x W x T)
Format:	Hardcover
Pages:	214
ISBN-13:	978-1-108-48636-1
Categories:	Books > Business & Economics > Finance & accounting > General Books > Business & Economics > Economics > Econometrics > General Promotions
LSN:	1-108-48636-3
Barcode:	9781108486361

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