How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?
Year of publication: |
2008
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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 1073194-5. - Vol. 18.2008, 1, p. 155-170
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Subject: | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Theorie | Theory |
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