The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies by David M. Kreps, Hardcover | Indigo Chapters
The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies by David M. Kreps, Hardcover | Indigo Chapters

Coles

The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies by David M. Kreps, Hardcover | Indigo Chapters

From David M. Kreps

Current price: $152.95
Loading Inventory...

Size: 1 x 1 x 1

Visit retailer's website
*Product information may vary - to confirm product availability, pricing, and additional information please contact Coles
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. | The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies by David M. Kreps, Hardcover | Indigo Chapters

More About Coles at Bramalea City Centre

Making Connections. Creating Experiences. We exist to add a little joy to our customers’ lives, each time they interact with us.

Powered by Adeptmind