Bachelier’s Market Model for ESG Asset Pricing
Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance and investment, as it changes the classical return-risk view of investment by incorporating an additional dimension to investment performance: the ESG score of the investment. We define the ESG price process and include it in an extension of Bachelier’s market model in both discrete and continuous time, enabling option pricing valuation.
Authors
- Svetlozar T. Rachev (ORCID: https://orcid.org/0000-0002-0869-4399)
- Nancy Asare Nyarko
- Blessing Omotade
- Peter Yegon
Institutions
- Texas Tech University (US)
Publication Details
- Journal
- Journal of risk and financial management
- Published
- 2024-12-10
- DOI
- https://doi.org/10.3390/jrfm17120553
- Citations
- 3
- Primary Topic
- Complex Systems and Time Series Analysis
- Type
- article
- Field-Weighted Citation Impact
- 3.39