Abstract
A modification of a classical Bachelier model by letting a stock price absorb at zero is revisited. Alternative proofs are given to derive option pricing formulas under the modified Bachelier model and numerical comparison with the Black–Scholes formula is provided. Quantile hedging methodology is developed for both classical and modified Bachelier models and application to pricing the pure endowment with fixed guarantee life insurance contracts is demonstrated, both theoretically and by means of a numerical example.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Paper version not known
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
