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The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies

Af: David M. Kreps Engelsk Paperback

The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies

Af: David M. Kreps Engelsk Paperback
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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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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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Produktdetaljer
Sprog: Engelsk
Sider: 214
ISBN-13: 9781108707657
Indbinding: Paperback
Udgave:
ISBN-10: 1108707653
Kategori: Økonometri og økonomisk statistik
Udg. Dato: 19 sep 2019
Længde: 12mm
Bredde: 228mm
Højde: 153mm
Forlag: Cambridge University Press
Oplagsdato: 19 sep 2019
Forfatter(e): David M. Kreps
Forfatter(e) David M. Kreps

Kategori Økonometri og økonomisk statistik

ISBN-13 9781108707657

Sprog Engelsk

Indbinding Paperback

Sider 214

Udgave

Længde 12mm

Bredde 228mm

Højde 153mm

Udg. Dato 19 sep 2019

Oplagsdato 19 sep 2019

Forlag Cambridge University Press