3 papers
math.OC2025
Performance and Risk Analytics of Asian Exchange-Traded Funds
Bhathiya Divelgama, Nancy Asare Nyarko, Naa Sackley Dromo Aryee +2
Investing in Asian markets through exchange-traded funds (ETFs) provides investors with access to rapidly expanding economies and valuable diversification opportunities. This study…
q-fin.PR2025
Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model
Bhathiya Divelgama, Nancy Asare Nyarko, W. Brent Lindquist +2
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…
q-fin.GN2023
Exploring Dynamic Asset Pricing within Bachelier Market Model
Nancy Asare Nyarko, Bhathiya Divelgama, Jagdish Gnawali +3
This paper delves into the dynamics of asset pricing within Bachelier market model, elucidating the representation of risky asset price dynamics and the definition of riskless asse…