Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24
We present a unified, market-complete model that integrates both Bachelier and Black- Scholes-Merton frameworks for … asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that … option pricing in the unified model differs depending on whether the replicating, self-financing portfolio uses riskless …