Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies (eBook)

David M. Kreps (Autor)

eBook Download: PDF

2019
Cambridge University Press (Verlag)
978-1-108-77550-2 (ISBN)

Infos

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.

Produkt-Details

• Erscheint lt. Verlag: 30.9.2019
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• ISBN-10: 1-108-77550-0 / 1108775500
• ISBN-13: 978-1-108-77550-2 / 9781108775502