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- W1966854566 abstract "This study compares modifications of Bachelier's expected-value theory with the Black and Scholes model using implicit parameters from actual option market prices or option premiums. For the purpose of this study, seven Dutch option series were analysed over a period of five months in 2004. In all cases the expected-value based models show a better fit with the actual market data than Black and Scholes model. The biggest deviations between model-predicted and actual market prices are about 8%; they occur in the Black and Scholes model at low option premiums." @default.
- W1966854566 created "2016-06-24" @default.
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- W1966854566 date "2006-05-01" @default.
- W1966854566 modified "2023-09-25" @default.
- W1966854566 title "Option pricing: back to the thinking of Bachelier" @default.
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- W1966854566 doi "https://doi.org/10.1080/17446540500426748" @default.
- W1966854566 hasPublicationYear "2006" @default.
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