Wednesday, July 22, 2015

Bachelier model call option pricing formula


Does anybody have the Bachelier model call option pricing formula for r>0?


All the references I've read assume r=0. I don't speak French, so I can't read Bachelier's original paper.





No comments:

Post a Comment

technique - How credible is wikipedia?

I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...