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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 Dura
The Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies (Econometric Society Monographs) (en Inglés) - David M. Kreps
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Origen: España
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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.
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