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Description The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies: 63 (Econometric Society Monographs, Series Number 63)

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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The Black–Scholes–Merton Model as an Idealization of ~ The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs) David M. Kreps This book examines whether continuous-time models in frictionless financial economies can be well approximated by discrete-time models.

The Black–Scholes–Merton Model as an Idealization of ~ 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?

The Black–Scholes–Merton Model as an Idealization of ~ The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs Book 63) - Kindle edition by Kreps, David M.. Download it once and read it on your Kindle device, PC, phones or tablets. Use features like bookmarks, note taking and highlighting while reading The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies .

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Mathematical finance / Cambridge University Press ~ The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies Kreps, David M. Published: November 2019 Published: November 2019 Published: September 2019

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