An empirical comparison of the bachelier and the black-scholes call option pricing models.

• Main Authors: Kok, Wen Ya., Tan, Gek Eng., Zheng, Xin.
• 其他作者: Cheang Hock Lye, Gerald
• 格式: Final Year Project
• 語言: English
• 出版: 2009
• 主題: DRNTU::Business::Finance::Options
• 在線閱讀: http://hdl.handle.net/10356/15174

The Black-Scholes formula is a recognized model for pricing and hedging derivative securities. It relies, however, on several highly questionable assumptions. This report examines whether the Bachelier’s option pricing model can be used to find the European call option prices corresponding to the ma...