The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies: 63 (Econometric Society Monographs, Series Number 63) - Image 1

£89.18

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

Name: The Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies: 63 (Econometric Society Monographs, Series Number 63)
Brand: Cambridge University Press
Price: 89.18 GBP
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Professional Finance

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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

Brand: Cambridge University Press
Format: hardcover
ASIN: 1108486363
Category: Books > Subjects > Business, Finance & Law > Professional Finance
Domain: Amazon UK
Release Date: 19 September 2019
Listed Since: 10 May 2019

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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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