The Black-Scholes-Merton model as an idealization of discrete-time economies / David M. Kreps.
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...
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| Online Access: |
Full Text (via Cambridge) |
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| Main Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge, United Kingdom ; New York, NY :
Cambridge University Press,
2019.
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| Series: | Econometric Society monographs ;
no. 63. |
| Subjects: |