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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| 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 |