The BlackScholesMerton Model as an Idealization of Discrete-Time Economies free ebook download.

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The BlackScholesMerton Model as an Idealization of Discrete-Time Economies free ebook download

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Economy

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Author(s):	David M Kreps

Date:	2019	Format:	PDF	Language:	English	ISBN/ASIN:	1108707653
Pages:	1	OCR:		Quality:		ISBN13:
Uploader:	gestalt	Upload Date:	11/11/2019 11:12:25 AM

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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.

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2628594	Book	http://tezfiles.com/file/2b8a0cbb0f6ef...		1.40	gestalt

Tags: Discrete-Time Economies Idealization Model

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