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| Autori principali: | , , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2509.18099 |
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| _version_ | 1866918145738932224 |
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| author | Divelgama, Bhathiya Nyarko, Nancy Asare Lindquist, W. Brent Rachev, Svetlozar T. Omotade, Blessing |
| author_facet | Divelgama, Bhathiya Nyarko, Nancy Asare Lindquist, W. Brent Rachev, Svetlozar T. Omotade, Blessing |
| contents | We extend the application of the Cherny-Shiryaev-Yor invariance principle to a unified Bachelier-Black-Scholes-Merton (BBSM) dynamic pricing model. This extension incorporates the influence of the history of the dynamics (i.e., the path dynamics) of a market index on stock price changes. We add an ESG rating component to the price of the risky asset (stock), in such a manner that the impact of the ESG rating on the stock valuation can be explored through variation in the value of a single parameter. We develop discrete, binary tree, option pricing under this extended model. Using an empirical data set of 10 stocks chosen from the Nasdaq-100, we fit the model to stock price changes and compare model-based and published European call option prices. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_18099 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model Divelgama, Bhathiya Nyarko, Nancy Asare Lindquist, W. Brent Rachev, Svetlozar T. Omotade, Blessing Pricing of Securities We extend the application of the Cherny-Shiryaev-Yor invariance principle to a unified Bachelier-Black-Scholes-Merton (BBSM) dynamic pricing model. This extension incorporates the influence of the history of the dynamics (i.e., the path dynamics) of a market index on stock price changes. We add an ESG rating component to the price of the risky asset (stock), in such a manner that the impact of the ESG rating on the stock valuation can be explored through variation in the value of a single parameter. We develop discrete, binary tree, option pricing under this extended model. Using an empirical data set of 10 stocks chosen from the Nasdaq-100, we fit the model to stock price changes and compare model-based and published European call option prices. |
| title | Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model |
| topic | Pricing of Securities |
| url | https://arxiv.org/abs/2509.18099 |