Name: The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs) (en Inglés)
Price: 214.15 PEN
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Author: David M Kreps
ISBN: 9781108707657

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

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

Formato

Libro Físico

Editorial

Cambridge University Press

Autor

David M Kreps

Año

2019

Idioma

Inglés

N° páginas

216

Encuadernación

Tapa Blanda

ISBN13

9781108707657

Categorías

Econometría

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

David M Kreps (Autor) · Cambridge University Press · Tapa Blanda

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Reseña del libro "The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs) (en Inglés)"

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.