We present a unified, market-complete model that integrates both Bachelier and Black- Scholes-Merton frameworks for … experiences the possibility of negative security prices or riskless rates. Unlike the classical Black-Scholes-Merton, we show that … developed. In every scenario analyzed, we show that the unified model simplifies to the standard Black-Scholes-Merton pricing …

hypothesis, why a proper risk-adjusted discount rate should enter into the Black-Scholes model instead of the risk-free rate. The … who have been intrigued by the risk-neutral features of the original Black-Scholes pricing framework. The model provides … generally different fair values for financial derivatives compared to the Black-Scholes model. In particular, the present model …

This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift … forwardstart call option is derived from the considered models in closed form. The obtained formulas are compared with the Black …