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Bachelier's Market Model for ESG Asset Pricing

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  • Svetlozar Rachev
  • Nancy Asare Nyarko
  • Blessing Omotade
  • Peter Yegon

Abstract

Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance and investment, as it changes the classical return-risk view of investment by incorporating an additional dimension of investment performance: the ESG score of the investment. We define the ESG price process and integrate it into an extension of Bachelier's market model in both discrete and continuous time, enabling option pricing valuation.

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  • Svetlozar Rachev & Nancy Asare Nyarko & Blessing Omotade & Peter Yegon, 2023. "Bachelier's Market Model for ESG Asset Pricing," Papers 2306.04158, arXiv.org.
    • Handle: RePEc:arx:papers:2306.04158
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    References listed on IDEAS

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