The Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies

by David M. Kreps

Book Overview

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...

• Format: Hardcover
• Language: English
• ISBN: 1108486363
• ISBN13: 9781108486361
• Release Date: November 2019
• Publisher: Cambridge University Press
• Length: 214 Pages
• Weight: 0.94 lbs.
• Dimensions: 0.6" x 6.3" x 9.3"