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

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

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...

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書目詳細資料
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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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