Satoshi Terakado

KPMG Azsa LLC

1-9-7 Otemachi

Tokyo

Japan

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On the Option Pricing Formula Based on the Bachelier Model

Number of pages: 26 Posted: 02 Aug 2019 Last Revised: 24 Sep 2019
Satoshi Terakado
KPMG Azsa LLC
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Abstract:

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Bachelier model, Ornstein=Uhlenbeck process, Bachelier partial diferential equation, Martingale approach, Intrinsic value and time value, Continuous-time CAPM, Representative agent, CARA utility function, Characteristic function, Interest rate option, Normal model