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Options / Investment / Stochastic processes / Equations / Black–Scholes / Normal distribution / Implied volatility / Hull–White model / Volatility / Financial economics / Mathematical finance / Finance


HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES? WALTER SCHACHERMAYER AND JOSEF TEICHMANN
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Document Date: 2005-01-11 13:31:01

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File Size: 317,10 KB

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City

Paris / /

Currency

pence / franc / /

Facility

Harvard University / /

IndustryTerm

pre-computer technology / option buyer / /

Organization

Harvard University / /

Person

WALTER SCHACHERMAYER / JOSEF TEICHMANN / Louis Bachelier / Georges Louis Leclerc Comte de Buffon / /

Position

model for stock prices / model / /

ProgrammingLanguage

K / /

Technology

pre-computer technology / /

SocialTag