Name: The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs)
Price: 1990.00 TWD
Availability: InStock
Author: David M Kreps
ISBN: 9781108707657

portada The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs)

The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs)

Type

Physical Book

Publisher

Cambridge University Press

Author

David M Kreps

Year

2019

Language

English

Pages

216

Format

Paperback

ISBN13

9781108707657

Synopsis "The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs) "

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.

Customers reviews

Have you read this book? Login to add your review.

More customer reviews

0% (0)
0% (0)
0% (0)
0% (0)
0% (0)

Questions and Answers about the Book

Do you have a question about the book? Login to be able to add your own question.

Opinions about Bookdelivery

More customer reviews

The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs) - David M Kreps

Synopsis "The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs) "

Customers reviews

Frequently Asked Questions about the Book

Is the book original?

In what language is the book written?

What is the format of this book?

Questions and Answers about the Book

Opinions about Bookdelivery