IDEAS home Printed from https://ideas.repec.org/r/bla/mathfi/v18y2008i1p155-170.html
   My bibliography  Save this item

How Close Are The Option Pricing Formulas Of Bachelier And Black–Merton–Scholes?

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Seiji Harikae & James S. Dyer & Tianyang Wang, 2021. "Valuing Real Options in the Volatile Real World," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 171-189, January.
  2. Bonollo, Michele & Di Persio, Luca & Oliva, Immacolata, 2020. "A quantization approach to the counterparty credit exposure estimation," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 335-356.
  3. W. Brent Lindquist & Svetlozar T. Rachev & Jagdish Gnawali & Frank J. Fabozzi, 2024. "Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model," Papers 2405.12479, arXiv.org, revised Jun 2024.
  4. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
  5. Nicole El Karoui & Antoine Parent & Pierre-Charles Pradier, 2022. "Louis Bachelier's Théorie de la spéculation : The missing piece in Walras' general equilibrium," Documents de travail du Centre d'Economie de la Sorbonne 22019, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  6. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2019. "Hyperbolic normal stochastic volatility model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 186-204, February.
  7. Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2013. "Continuous equilibrium in affine and information-based capital asset pricing models," Annals of Finance, Springer, vol. 9(4), pages 725-755, November.
  8. Glazyrina, Anna & Melnikov, Alexander, 2020. "Bachelier model with stopping time and its insurance application," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 156-167.
  9. Elisa Al`os & Eulalia Nualart & Makar Pravosud, 2023. "On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model," Papers 2308.15341, arXiv.org, revised Sep 2024.
  10. Ben Hambly & Juozas Vaicenavicius, 2015. "The 3/2 Model As A Stochastic Volatility Approximation For A Large-Basket Price-Weighted Index," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-25.
  11. Harold M. Hastings & Tai Young-Taft & Chih-Jui Tsen, 2020. "Ecology, Economics, and Network Dynamics," Economics Working Paper Archive wp_971, Levy Economics Institute.
  12. Roberto Baviera, 2019. "Back-Of-The-Envelope Swaptions In A Very Parsimonious Multi-Curve Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-24, August.
  13. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  14. Olivier Guéant & Jiang Pu, 2017. "Option Pricing And Hedging With Execution Costs And Market Impact," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 803-831, July.
  15. Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2018. "Theoretical and empirical analysis of trading activity," Papers 1803.04892, arXiv.org, revised Oct 2018.
  16. Christian Bayer & Juho Happola & Ra'ul Tempone, 2017. "Implied Stopping Rules for American Basket Options from Markovian Projection," Papers 1705.00558, arXiv.org, revised Jun 2017.
  17. Grzegorz Krzy.zanowski & Marcin Magdziarz & {L}ukasz P{l}ociniczak, 2019. "A weighted finite difference method for subdiffusive Black Scholes Model," Papers 1907.00297, arXiv.org, revised Apr 2020.
  18. Joaquin Fernandez-Tapia & Olivier Gu'eant, 2020. "Recipes for hedging exotics with illiquid vanillas," Papers 2005.10064, arXiv.org, revised May 2020.
  19. Cyril Grunspan, 2011. "A Note on the Equivalence between the Normal and the Lognormal Implied Volatility : A Model Free Approach," Papers 1112.1782, arXiv.org.
  20. Cyril Grunspan & Joris Van Der Hoeven, 2020. "Effective Asymptotics Analysis For Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-23, March.
  21. Seok, Juheon & Brorsen, B. Wade & Li, Weiping, 2013. "Calendar Spread Options for Storable Commodities," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150294, Agricultural and Applied Economics Association.
  22. Alexander Lipton, 2024. "Hydrodynamics of Markets:Hidden Links Between Physics and Finance," Papers 2403.09761, arXiv.org.
  23. Tahir Choulli & Ella Elazkany & Mich`ele Vanmaele, 2024. "The second-order Esscher martingale densities for continuous-time market models," Papers 2407.03960, arXiv.org.
  24. Matta Uma Maheswara Reddy, 2019. "Option pricing under normal dynamics with stochastic volatility," Papers 1909.08047, arXiv.org, revised Oct 2019.
  25. Alexander Melnikov & Hongxi Wan, 2021. "On modifications of the Bachelier model," Annals of Finance, Springer, vol. 17(2), pages 187-214, June.
  26. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
  27. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.