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The Resource The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps

The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps

Label
The Black-Scholes-Merton model as an idealization of discrete-time economies
Title
The Black-Scholes-Merton model as an idealization of discrete-time economies
Statement of responsibility
David M. Kreps
Creator
Author
Subject
Language
eng
Summary
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
Member of
Cataloging source
UkCbUP
http://library.link/vocab/creatorName
Kreps, David M
Dewey number
332.63/228301
Index
index present
LC call number
HG106
LC item number
.K74 2019
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Econometric Society monographs series
http://library.link/vocab/subjectName
  • Finance
  • Securities
Label
The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps
Instantiates
Publication
Note
Title from publisher's bibliographic system (viewed on 09 Sep 2019)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
CR9781108626903
Extent
1 online resource (xi, 203 pages)
Form of item
online
Isbn
9781108626903
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
Label
The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps
Publication
Note
Title from publisher's bibliographic system (viewed on 09 Sep 2019)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
CR9781108626903
Extent
1 online resource (xi, 203 pages)
Form of item
online
Isbn
9781108626903
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote

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