Bibliograph

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

Type

Label

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

Language

eng

Index

index present

Literary Form

non fiction

Main title

The Black-Scholes-Merton model as an idealization of discrete-time economies

Medium

electronic resource

Nature of contents

dictionaries

Oclc number

1120722443

Responsibility statement

David M. Kreps

Series statement

Econometric Society monographs seriesCambridge Social Sciences eBooks

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.--, Provided by publisher

Creator