The Black-Scholes-Merton model as an idealization of discrete-time economies:
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...
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| Main Author: | |
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| Format: | eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2019
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| Series: | Econometric Society monographs series
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| Links: | https://doi.org/10.1017/9781108626903 |
| 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. |
| Physical Description: | 1 Online-Ressource (xi, 203 Seiten) |
| ISBN: | 9781108626903 |
Staff View
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| spelling | Kreps, David M. The Black-Scholes-Merton model as an idealization of discrete-time economies David M. Kreps Cambridge Cambridge University Press 2019 1 Online-Ressource (xi, 203 Seiten) txt c cr Econometric Society monographs series 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. Erscheint auch als Druck-Ausgabe 9781108486361 Erscheint auch als Druck-Ausgabe 9781108707657 |
| spellingShingle | Kreps, David M. 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 |
| title_auth | The Black-Scholes-Merton model as an idealization of discrete-time economies |
| title_exact_search | The Black-Scholes-Merton model as an idealization of discrete-time economies |
| title_full | The Black-Scholes-Merton model as an idealization of discrete-time economies David M. Kreps |
| title_fullStr | The Black-Scholes-Merton model as an idealization of discrete-time economies David M. Kreps |
| title_full_unstemmed | The Black-Scholes-Merton model as an idealization of discrete-time economies David M. Kreps |
| title_short | The Black-Scholes-Merton model as an idealization of discrete-time economies |
| title_sort | black scholes merton model as an idealization of discrete time economies |
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