The Black-Scholes-Merton model as an idealization of discrete-time economies / David M. Kreps.
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...
Saved in:
| Online Access: |
Full Text (via Cambridge) |
|---|---|
| Main Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge, United Kingdom ; New York, NY :
Cambridge University Press,
2019.
|
| Series: | Econometric Society monographs ;
no. 63. |
| Subjects: |
MARC
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| 100 | 1 | |a Kreps, David M., |e author. | |
| 245 | 1 | 4 | |a The Black-Scholes-Merton model as an idealization of discrete-time economies / |c David M. Kreps. |
| 264 | 1 | |a Cambridge, United Kingdom ; |a New York, NY : |b Cambridge University Press, |c 2019. | |
| 264 | 4 | |c ©2019 | |
| 300 | |a 1 online resource (xi, 203 pages) : |b illustrations (black and white) | ||
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| 490 | 1 | |a Econometric Society monographs series ; |v [63] | |
| 504 | |a Includes bibliographical references and indexes. | ||
| 588 | 0 | |a Online resource; title from digital title page (viewed on October 24, 2019). | |
| 520 | |a 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. | ||
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Stocks |x Prices |x Mathematical models. | |
| 650 | 0 | |a Discrete-time systems. | |
| 650 | 7 | |a Discrete-time systems. |2 fast |0 (OCoLC)fst00894973 | |
| 650 | 7 | |a Finance |x Mathematical models. |2 fast |0 (OCoLC)fst00924398 | |
| 650 | 7 | |a Stocks |x Prices |x Mathematical models. |2 fast |0 (OCoLC)fst01133728 | |
| 776 | 0 | 8 | |i Print version: |z 9781108486361 |z 9781108707657 |w (OCoLC)1120066487 |
| 830 | 0 | |a Econometric Society monographs ; |v no. 63. | |
| 856 | 4 | 0 | |u https://colorado.idm.oclc.org/login?url=https://doi.org/10.1017/9781108626903 |z Full Text (via Cambridge) |
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