How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?

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We compare the option pricing formulas of Louis Bachelier and Black-Merton-Scholes and observe -- theoretically as well as for Bachelier's original data -- that the prices coincide very well. We illustrate Louis Bachelier's efforts to obtain applicable formulas for option pricing in pre-computer time. Furthermore we explain -- by simple methods from chaos expansion -- why Bachelier's model yields good short-time approximations of prices and volatilities.
to appear in Mathematical Finance

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Pricing of Securities, History and Overview, Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/208401

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0711.1272
 http://arxiv.org/abs/0711.1272

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arXiv