£77.69

Cambridge University Press The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies: 63 (Econometric Society Monographs, Series Number 63)

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£95.77 £70.64 £76.12 £81.60 £87.09 £92.57 £98.05 23 May 2024 28 October 2024 04 April 2025 09 September 2025 15 February 2026

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Description

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.

Product Specifications

Format
hardcover
Domain
Amazon UK
Release Date
19 September 2019
Listed Since
10 May 2019

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