most citedBachelier's Market Model for ESG Asset Pricing

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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…