The Black-Scholes-Merton model as an idealization of discrete-time economies
David M. Kreps
Bok · Engelsk · 2019
| Omfang | XI, 203 sider
|
|---|---|
| Opplysninger | Finitely many states and dates -- Countinuous time and the Black-Scholes-Merton (BSM) model -- BSM as an idealization of binomial-random-walk economies -- Random walks that are not binomial -- Barlow's example -- The Pötzelberger-Schlumprecht example and asymptotic arbitrage -- Concluding remarks, part I : how robust an idealization is BSM? -- Concluding remarks, part II : continuous-time models as idealizations of discrete time.. - "I began this monograph (which, at the time, was a nascent paper) with the objective of understandinghow and how well continuous-time models of economic phenomena - and in particular models that employ Brownian motion - relate to "near by" discrete-time models. We know by examples that the connections are sometimes not altogether obvious; see, for instance, Fudenberg and Levine (2009) and Sadzik and Stacchetti (2015). So, it seemed to me, a general theory connecting the two types of models ought to be available"--
|
| Emner | |
| Dewey | |
| ISBN | 9781108486361. - 9781108707657
|