The Black–Scholes–Merton Model as an Idealization of Discrete-Time Economies

DOI10.1017/9781108626903zbMATH Open1448.91003OpenAlexW2973320981MaRDI QIDQ5223607FDOQ5223607

David M. Kreps

Publication date: 18 July 2019

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

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 (1)

• Convergence of optimal expected utility for a sequence of binomial models

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