Bachelier's model of arithmetic Brownian motion (Bachelier [1900]) lack of interest in an option-pricing model with a normally distributed underlying
cris-paper-2007-7.pdf
Bachelier submitted to the University of Paris one of the most remarkable Ph D theses ever described by a normal distribution whose standard devia-
OptionPricingHistory_Sutton.pdf
L Bachelier found it convenient to use a parallel shift of the coordinate system moving S0 to 0, so that the Gaussian distribution will be centered at 0
finalversion301204.pdf
T = (SB T ? K)+ Applying Bachelier's “fundamental principle” and using that SB T is normally distributed with mean
finalversion071108.pdf
1 above, we conclude that C(S0,T) = E[f] is the unique arbitrage free price for the call option defined in (4 2) Note that ST is normally distributed with mean
10.1007%2F978-3-540-31299-4_4.pdf
?-stable distributions of waiting times Bachelier observed that the stock price movements are analogous to the standard normal distribution
MMagdzarzSOrzelAWeron_JSTAT.PHYS_2011.pdf