| 000 | 02288nam a2200361 i 4500 | ||
|---|---|---|---|
| 001 | CR9781108626903 | ||
| 003 | UkCbUP | ||
| 005 | 20240301142639.0 | ||
| 006 | m|||||o||d|||||||| | ||
| 007 | cr|||||||||||| | ||
| 008 | 190206s2019||||enk o ||1 0|eng|d | ||
| 020 | _a9781108626903 (ebook) | ||
| 020 | _z9781108486361 (hardback) | ||
| 020 | _z9781108707657 (paperback) | ||
| 040 |
_aUkCbUP _beng _erda _cUkCbUP |
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| 050 | 4 |
_aHG106 _b.K74 2019 |
|
| 082 | 0 | 4 |
_a332.63/228301 _223 |
| 100 | 1 |
_aKreps, David M., _eauthor. |
|
| 245 | 1 | 4 |
_aThe Black-Scholes-Merton model as an idealization of discrete-time economies / _cDavid M. Kreps. |
| 264 | 1 |
_aCambridge : _bCambridge University Press, _c2019. |
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| 300 |
_a1 online resource (xi, 203 pages) : _bdigital, PDF file(s). |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 490 | 1 | _aEconometric Society monographs series | |
| 500 | _aTitle from publisher's bibliographic system (viewed on 09 Sep 2019). | ||
| 520 | _aThis 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. | ||
| 650 | 0 |
_aFinance _xMathematical models. |
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| 650 | 0 |
_aSecurities _xValuation. |
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| 776 | 0 | 8 |
_iPrint version: _z9781108486361 |
| 830 | 0 | _aEconometric Society monographs. | |
| 856 | 4 | 0 | _uhttps://doi.org/10.1017/9781108626903 |
| 999 |
_c9890 _d9890 |
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