How close are the option pricing formulas of bachelier and black-merton-scholes?

Mathematical Finance

Volumn 18, Issue 1, 2008, Pages 155-170

  Schachermayer, Walter ^a   Teichmann, Josef ^a  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

Author keywords

Bachelier formula; Black Merton Scholes formula; No arbitrage; Short time asymptotics

Indexed keywords

EID: 37249062643     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2007.00326.x     Document Type: Article

References (11)

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3. Bachelier, L. (1912 Calcul de Probabilités, Paris, 1912, Les Grands Classiques Gauthier-Villars, Editions Jacques Gabay 1992.
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