Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model

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 experiences the possibility of negative security prices or riskless r...

Бүрэн тодорхойлолт

Номзүйн дэлгэрэнгүй

Үндсэн зохиолчид:	W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali, Frank J. Fabozzi
Формат:	Artigo
Хэл сонгох:	Inglês
Хэвлэсэн:	MDPI AG 2024-08-01
Цуврал:	Risks
Нөхцлүүд:	dynamic asset pricing Bachelier model Black–Scholes–Merton model option pricing perpetual derivative binomial model
Онлайн хандалт:	https://www.mdpi.com/2227-9091/12/9/136
Шошгууд:	Шошго нэмэх Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!