The Black-Scholes-Merton model as an idealization of discrete-time economies /

The Black-Scholes-Merton model as an idealization of discrete-time economies /

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Bibliographic Details
Author / Creator:	Kreps, David M., author.
Imprint:	Cambridge, United Kingdom ; New York, NY : Cambridge University Press, 2019. ©2019
Description:	xi, 203 pages : illustrations (black and white) ; 24 cm.
Language:	English
Series:	Econometric Society monograph series Econometric Society monographs.
Subject:	Finance -- Mathematical models. Stocks -- Prices -- Mathematical models. Discrete-time systems. Discrete-time systems. Finance -- Mathematical models. Stocks -- Prices -- Mathematical models.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11988187

Hidden Bibliographic Details
ISBN:	9781108486361 1108486363 9781108707657 1108707653 9781108775502
Notes:	Includes bibliographical references and index.
Summary:	"I began this monograph (which, at the time, was a nascent paper) with the objective of understandinghow and how well continuous-time models of economic phenomena - and in particular models that employ Brownian motion - relate to "near by" discrete-time models. We know by examples that the connections are sometimes not altogether obvious; see, for instance, Fudenberg and Levine (2009) and Sadzik and Stacchetti (2015). So, it seemed to me, a general theory connecting the two types of models ought to be available"--
Other form:	ebook version : 9781108775502

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Call Number:	HG106 .K74 2019
c.1	Available Loan period: standard loan Scan and Deliver Request for Pickup Need help? - Ask a Librarian