On the Option Pricing Formula Based on the Bachelier Model-Reference-Cited by-同舟云学术

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On the Option Pricing Formula Based on the Bachelier Model

Published:2019 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Terakado Satoshi

Publisher

Elsevier BV

Reference14 articles.

1. Eight valuation methods in financial mathematics: The Black-Scholes formula as an example;J Andreasen;Mathematical Scientist,1998

2. The Random Character of Stock Market Prices;L Bachelier;Theory of Speculation,1964

3. The pricing of commodity contracts;F Black;Journal of Financial Economics,1976

4. The pricing of options and corporate liabilities;F Black;Journal of Political Economy,1973

5. An Option Valuation Framework Based On Arithmetic Brownian Motion: Justification And Implementation Issues;R Brooks;Journal of Financial Research,2017

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Towards Sobolev Pruning;Proceedings of the Platform for Advanced Scientific Computing Conference;2024-06-03

2. Oil futures volatility smiles in 2020: Why the bachelier smile is flatter;Review of Derivatives Research;2022-02-15

3. Black’s model in a negative interest rate environment, with application to OTC derivatives;Computational Management Science;2021-07-02

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