The Black-Scholes-Merton model as an idealization of discrete-time economies
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...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press
2019.
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| Colección: | CUP ebooks.
Econometric Society monographs series. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b40781173*spi |
| Sumario: | 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. |
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| Descripción Física: | 1 recurso electrónico (xi, 203 p.) |
| Formato: | Forma de acceso: World Wide Web. |
| ISBN: | 9781108626903 |
