The Black-Scholes-Merton Model as an Idealization of Discrete-time Economies
Author | : David M. Kreps |
Publisher | : Cambridge University Press |
Total Pages | : 217 |
Release | : 2019-09-19 |
ISBN-10 | : 9781108486361 |
ISBN-13 | : 1108486363 |
Rating | : 4/5 (61 Downloads) |
Download or read book The Black-Scholes-Merton Model as an Idealization of Discrete-time Economies written by David M. Kreps and published by Cambridge University Press. This book was released on 2019-09-19 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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"--