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

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dc.creatorSchachermayer, Walter
dc.creatorTeichmann, Josef
dc.date2007-11-08
dc.date.accessioned2026-07-07T12:05:32Z
dc.date.available2026-07-07T12:05:32Z
dc.descriptionWe 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.
dc.descriptionto appear in Mathematical Finance
dc.identifierhttps://arxiv.org/abs/0711.1272
dc.identifierhttp://arxiv.org/abs/0711.1272
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208401
dc.subjectPricing of Securities
dc.subjectHistory and Overview
dc.subjectProbability
dc.titleHow close are the option pricing formulas of Bachelier and Black-Merton-Scholes?
dc.typetext

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