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

• المؤلفون الرئيسيون: Kok, Wen Ya., Tan, Gek Eng., Zheng, Xin.
• مؤلفون آخرون: Cheang Hock Lye, Gerald
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2009
• الموضوعات: DRNTU::Business::Finance::Options
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/15174
• المؤسسة: Nanyang Technological University

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...