Black–Scholes–Merton Model as an Idealization Discrete-Time Ec… 9781108707657 LN

Description: The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies: 63 (Econometric Society Monographs, Series Number 63)David M Kreps Cambridge University Press Paperback Unused and unread, minor cosmetic imperfections such as scuffing or minor creasing. Stamped 'damaged' by publisher to a non-text page. EAN: 9781108707657 Published: 30/09/2019 Language: English 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. 1. Introduction 2. Finitely many states and dates 3. Countinuous time and the Black-Scholes-Merton (BSM) Model 4. BSM as an idealization of binomial-random-walk economies 5. Random walks that are not binomial 6. Barlow's example 7. The PÃƒÂ¶tzelberger-Schlumprecht example and asymptotic arbitrage 8. Concluding remarks, Part I how robust an idealization is BSM? 9. Concluding remarks, Part II continuous-time models as idealizations of discrete time Appendix. DispatchIn stock here - same-day dispatch from England. My SKU: 3273422RefundsNo-hassle refunds are always available if your book is not as expected.Terms and Conditions of SaleSorry - no collections. All sales are subject to extended Terms and Conditions of Sale as well as the Return Policy and Payment Instructions. Visit my eBay Store for details andmany more books. Template layout and design, "JNC Academic Books", "needbooks", Copyright © JNC INC. Designated trademarks, layouts and brands are the property of their respective owners. All Rights Reserved.

Price: 14.39 GBP

Location: Welwyn

End Time: 2025-01-15T07:33:40.000Z

Shipping Cost: 124.86 GBP