Black-Scholes-Merton Model As an Idealization of Discrete-Time Economies

David M. Kreps

"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"--