I am working on the Bachelier Model with r not equal to 0 as described in the first and most upvoted answer in following link:

Bachelier model call option pricing formula

This is fairly easy to code and to derive delta, vega and gamma. I want to derive however other first order greeks, namely: rho and theta.

I found the following paper that derived these greeks for a Bachelier model with r = 0 and I am using it as support:


In their derivation of theta I do not understand equation A32 on page 16. They write:

enter image description here

Shouldn't it be ? If not, why ?:

enter image description here

On a side note, if anyone has a reference where these bachelier with r != 0 greeks are derived I'll take it


Here are theta and rho that I derived. Hope someone can tell me if it's correct or not.



  • 4
    $\begingroup$ Yes, it's a typo ($\partial \sigma$ should be $\partial \tau$). $\endgroup$
    – ir7
    Oct 4 at 16:23

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.