How Close Are The Option Pricing Formulas Of Bachelier And Black–Merton–Scholes?
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DOI: 10.1111/j.1467-9965.2007.00326.x
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References listed on IDEAS
- Boyle, Phelim P. & Ananthanarayanan, A. L., 1977. "The impact of variance estimation in option valuation models," Journal of Financial Economics, Elsevier, vol. 5(3), pages 375-387, December.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
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- 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.
- Matta Uma Maheswara Reddy, 2019. "Option pricing under normal dynamics with stochastic volatility," Papers 1909.08047, arXiv.org, revised Oct 2019.
- Alexander Melnikov & Hongxi Wan, 2021. "On modifications of the Bachelier model," Annals of Finance, Springer, vol. 17(2), pages 187-214, June.
- 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.
- 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.
- Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
- Nicole El Karoui & Antoine Parent & Pierre-Charles Pradier, 2022.
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- Nicole El Karoui & Antoine Parent & Pierre-Charles Pradier, 2022. "Louis Bachelier's Théorie de la spéculation : The missing piece in Walras' general equilibrium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03815600, HAL.
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- 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.
- 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.
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- 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.
- Olivier Guéant & Jiang Pu, 2015. "Option pricing and hedging with execution costs and market impact," Post-Print hal-01393124, HAL.
- 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.
- 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.
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