The Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies
(Book #63 in the Econometric Society Monographs Series)
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Book Overview
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...
Format:Hardcover
Language:English
ISBN:1108486363
ISBN13:9781108486361
Release Date:November 2019
Publisher:Cambridge University Press
Length:214 Pages
Weight:0.94 lbs.
Dimensions:0.6" x 6.3" x 9.3"
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