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
Resource Information
The item The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Sydney Jones Library, University of Liverpool.
This item is available to borrow from 1 library branch.
- 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
- Language
- eng
- Extent
- 1 online resource (xi, 203 pages)
- Note
- Title from publisher's bibliographic system (viewed on 09 Sep 2019)
- Isbn
- 9781108626903
- 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
- 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
- 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
- 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
- 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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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/The-Black-Scholes-Merton-model-as-an-idealization/zgfraPIC9gM/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/The-Black-Scholes-Merton-model-as-an-idealization/zgfraPIC9gM/">The Black-Scholes-Merton model as an idealization of discrete-time economies, David M. Kreps</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">Sydney Jones Library, University of Liverpool</a></span></span></span></span></div>
