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 ...
Read More
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.
Read Less
Add this copy of The Black-Scholes-Merton Model as an Idealization of to cart. $47.33, new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2019 by Cambridge University Press.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
New. Trade paperback (US). Contains: Line drawings, black & white, Tables, black & white, Unspecified. Econometric Society Monographs . 7 b/w illus. 1 table. Intended for professional and scholarly audience. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of The Blackscholesmerton Model as an Idealization of to cart. $47.34, new condition, Sold by Paperbackshop rated 4.0 out of 5 stars, ships from Bensenville, IL, UNITED STATES, published 2019 by Cambridge University Press.
Add this copy of The Black&Ndash; Scholes&Ndash; Merton Model as an to cart. $55.14, new condition, Sold by Media Smart rated 4.0 out of 5 stars, ships from Hawthorne, CA, UNITED STATES, published 2019 by Cambridge University Press CUP.
