A Black-Scholes user's guide to the Bachelier model

A Black-Scholes user's guide to the Bachelier model

To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges switched the option model from Black-Scholes to Bachelier in April 2020. This study reviews the literature on Bachelier's pioneering option pricing model and summarizes the practical...

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Bibliographic Details
Main Authors: CHOI, Jaehyuk, KWAK, Minsuk, TEE, Chyng Wen, WANG, Yumeng
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Bachelier model
Black-Scholes model
Displaced diffusion model
Normal model
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6869
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7868/viewcontent/SSRN_id3828310.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/6869
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7868/viewcontent/SSRN_id3828310.pdf

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