Ian Thomson

University of St Joseph

Adjunct Researcher

NAPE, Lote 18

Rua de Londres - P Edf. Tak Ip Plaza, R/C - 3

Macao, Macao SAR

China

http://www.usj.edu.mo/en/

SCHOLARLY PAPERS

5

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2,241

SSRN CITATIONS

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CROSSREF CITATIONS

2

Ideas:
“  1. Working on a short paper reviewing option sructure and pedagogical definition in light of the applied Bachelier model2. reviewing model implications for equity and Real Options3. Looking at modelling to reflect non orthoganility of price path against market price tick  ”

Scholarly Papers (5)

1.

Option Pricing Model: Comparing Louis Bachelier with Black-Scholes Merton

Number of pages: 45 Posted: 22 May 2016
Ian Thomson
University of St Joseph
Downloads 2,129 (7,325)
Citation 2

Abstract:

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Bachelier, Black-Scholes, Merton, Option Pricing

2.

A Short Note on Application of Bachelier Option Model to FRAs; with Comment on Black 1976

Number of pages: 7 Posted: 15 Oct 2019
Ian Thomson
University of St Joseph
Downloads 34 (487,737)

Abstract:

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Bachelier Black Options Pricing Model FRAs

3.

Black Scholes: The Imperfect Hedge

Number of pages: 18 Posted: 23 Aug 2018
Ian Thomson
University of St Joseph
Downloads 34 (487,737)

Abstract:

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Options, Black Scholes, Bachelier, Perfect Hedge

4.

Applying Bachelier Part 1: Option Value

Number of pages: 22 Posted: 23 Aug 2018
Ian Thomson
University of St Joseph
Downloads 23 (547,783)

Abstract:

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Option Model, Value, Bachelier

5.

Applied Bachelier Option Pricing: Where Both Assets Are Price Uncertain, and Option Asset Value

Number of pages: 18 Posted: 11 Mar 2020
Ian Thomson
University of St Joseph
Downloads 21 (560,343)

Abstract:

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Bachelier, Options, Option Asset Value, Bivariate