HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
| Year of publication: |
2008
|
|---|---|
| Authors: | Schachermayer, Walter ; Teichmann, Josef |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 10731945. - Vol. 18.2008, 1, p. 155-170
|