摘要翻译：
我们比较了Louis Bachelier和Black-Merton-Scholes的期权定价公式，并观察到--理论上以及Bachelier的原始数据--价格非常吻合。我们说明了Louis Bachelier在计算机前的时间里为获得期权定价的适用公式所做的努力。此外，我们用混沌展开的简单方法解释了为什么Bachelier模型能得到价格和波动的良好的短期近似。
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英文标题：
《How close are the option pricing formulas of Bachelier and
  Black-Merton-Scholes?》
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作者：
Walter Schachermayer, Josef Teichmann
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：History and Overview        历史和概况
分类描述：Biographies, philosophy of mathematics, mathematics education, recreational mathematics, communication of mathematics, ethics in mathematics
传记、数学哲学、数学教育、娱乐数学、数学交流、数学伦理
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We compare the option pricing formulas of Louis Bachelier and Black-Merton-Scholes and observe -- theoretically as well as for Bachelier's original data -- that the prices coincide very well. We illustrate Louis Bachelier's efforts to obtain applicable formulas for option pricing in pre-computer time. Furthermore we explain -- by simple methods from chaos expansion -- why Bachelier's model yields good short-time approximations of prices and volatilities.
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PDF链接：
https://arxiv.org/pdf/0711.1272