The Black-Scholes-Merton model as an idealization of discrete-time economies
著者
書誌事項
The Black-Scholes-Merton model as an idealization of discrete-time economies
（Econometric Society monographs, 63）
Cambridge University Press, 2019
- : hardback
- : pbk
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注記
Includes bibliographical references (p. [194]-198) and indexes
内容説明・目次
内容説明
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.
目次
- 1. Introduction
- 2. Finitely many states and dates
- 3. Countinuous time and the Black-Scholes-Merton (BSM) Model
- 4. BSM as an idealization of binomial-random-walk economies
- 5. Random walks that are not binomial
- 6. Barlow's example
- 7. The Poetzelberger-Schlumprecht example and asymptotic arbitrage
- 8. Concluding remarks, Part I: how robust an idealization is BSM?
- 9. Concluding remarks, Part II: continuous-time models as idealizations of discrete time
- Appendix.
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