Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies
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Black-Scholes-Merton Model as an Idealization of Discrete-Time Economies
Kreps, David M.
Cambridge University Press
09/2019
214
Dura
Inglês
9781108486361
15 a 20 dias
430
Descrição não disponível.
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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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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
