0
Your cart

Your cart is empty

Books > Business & Economics > Economics > Econometrics

Buy Now

Econometric Society Monographs, Series Number 63 - The Black-Scholes-Merton Model as an Idealization of Discrete-time Economies (Hardcover) Loot Price: R1,865
Discovery Miles 18 650
You Save: R127 (6%)
Econometric Society Monographs, Series Number 63 - The Black-Scholes-Merton Model as an Idealization of Discrete-time Economies...

Econometric Society Monographs, Series Number 63 - The Black-Scholes-Merton Model as an Idealization of Discrete-time Economies (Hardcover)

David M. Kreps

 (sign in to rate)
List price R1,992 Loot Price R1,865 Discovery Miles 18 650 | Repayment Terms: R173 pm x 12* You Save R127 (6%)

Bookmark and Share

Expected to ship within 7 - 12 working days

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.

General

Imprint: Cambridge UniversityPress
Country of origin: United Kingdom
Release date: September 2019
Authors: David M. Kreps
Dimensions: 345 x 235 x 12mm (L x W x T)
Format: Hardcover
Pages: 217
ISBN-13: 978-1-108-48636-1
Categories: Books > Business & Economics > Economics
Books > Business & Economics > Finance & accounting
Books > Business & Economics > Economics > Econometrics
Books > Business & Economics > Finance & accounting > General
Books > Business & Economics > Economics > Econometrics > General
Books > Business & Economics > Promotions
LSN: 1-108-48636-3
Barcode: 9781108486361

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!

Partners