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The Black-Scholes-Merton Model as an Idealization of Discrete-time Economies. D.M.クレプス著 離散時間経済の理想化としての ブラック・ショールズ・マートン・モデル
・ISBN 978-1-108-48636-1 hard GB£ 109.00
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・ISBN 978-1-108-70765-7 paper GB£ 35.00
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-108-62690-3
| 著者・編者 | Kreps, David M., |
|---|---|
| シリーズ | Econometric Society Monographs |
| 出版社 | (Cambridge U. Pr., UK) |
| 出版年月 | 2019 |
| ページ数 | 200 pp. |
| 言語 | ENG |
| ニュース番号 | ＜652-453 652-599＞ |
解説
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.