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

DOI10.1017/9781108626903zbMATH Open1448.91003OpenAlexW2973320981MaRDI QIDQ5223607FDOQ5223607

Authors: David M. Kreps 

Publication date: 18 July 2019

Full work available at URL: https://doi.org/10.1017/9781108626903

Recommendations

• Discrete-time approximations and limit theorems. In applications to financial markets
• Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets
• On stability of continuous time models of a financial market.
• scientific article; zbMATH DE number 6528204
• Convergence of optimal expected utility for a sequence of discrete-time markets

zbMATH Keywords

Black-Scholes-Merton modeldiscrete time economies

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Cited In (3)

• Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets
• On the Discrete Time Capital Asset Pricing Model
• Convergence of optimal expected utility for a sequence of binomial models

This page was built for publication: The Black-Scholes-Merton model as an idealization of discrete-time economies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5223607)