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...
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| 主要な著者: | , , , |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
MDPI AG
2024-08-01
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| シリーズ: | Risks |
| 主題: | |
| オンライン･アクセス: | https://www.mdpi.com/2227-9091/12/9/136 |
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