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Is there a PDE that decomposes the daily PnL as delta, gamma, vega vanna and volga but under Bachelier model (assuming normal vol) ?

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  • $\begingroup$ It's no different than the Black Scholes case, except the Greeks are now Bachelier Greeks. $\endgroup$
    – user34971
    Commented Jan 23, 2022 at 17:43
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    $\begingroup$ See also the following thread: quant.stackexchange.com/questions/53392/… $\endgroup$
    – user34971
    Commented Jan 23, 2022 at 17:46

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