The Black-Scholes-Merton model as an idealization of discrete-time economies (Book, 2019) [WorldCat.org]
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The Black-Scholes-Merton model as an idealization of discrete-time economies

Author: David M Kreps
Publisher: Cambridge, United Kingdom ; New York, NY : Cambridge University Press, 2019. ©2019
Series: Econometric Society monographs, no. 63.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"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  Read more...
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Additional Physical Format: ebook version :
Document Type: Book
All Authors / Contributors: David M Kreps
ISBN: 9781108486361 1108486363 9781108707657 1108707653
OCLC Number: 1120066487
Description: xi, 203 pages : illustrations (black and white) ; 24 cm.
Contents: 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.
Series Title: Econometric Society monographs, no. 63.
Responsibility: David M. Kreps.

Abstract:

This book examines whether continuous-time models in frictionless financial economies can be well approximated by discrete-time models. Mainstream financial economists and economic theorists who want  Read more...

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'He did it again - David M. Kreps, the unparalleled master of theory and exposition, now adds detailed discrete underpinnings to the Black-Scholes-Merton model. This beautifully written monograph Read more...

 
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