Coverart for item
The Resource The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps, (electronic resource)

The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps, (electronic resource)

Label
The Black-Scholes-Merton model as an idealization of discrete-time economies
Title
The Black-Scholes-Merton model as an idealization of discrete-time economies
Statement of responsibility
David M. Kreps
Creator
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by publisher
Cataloging source
UkCbUP
http://library.link/vocab/creatorName
Kreps, David M.,
Index
index present
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • Econometric Society monographs series
  • Cambridge Social Sciences eBooks
http://library.link/vocab/subjectName
  • Finance
  • Securities
Label
The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1017/9781108626903
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
CR9781108626903
Dimensions
unknown
Extent
1 online resource (xi, 203 pages)
Form of item
online
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781108486361
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
System control number
(OCoLC)1120722443
Label
The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1017/9781108626903
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
CR9781108626903
Dimensions
unknown
Extent
1 online resource (xi, 203 pages)
Form of item
online
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781108486361
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
System control number
(OCoLC)1120722443

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