Questions tagged [bachelier]
The bachelier tag has no usage guidance.
6
questions
3
votes
0answers
117 views
Deriving Bachelier Greeks
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 ...
3
votes
1answer
91 views
EMM for Bachelier model
The stock price is assumed to evolve as $S_{t}=S_{0}+\mu t+\sigma B_{t}$, where $S_{0}>0, \mu>0$ and the process $B_{t}$ is Brownian motion.
The saving account is assumed to be $\beta_{t}=e^{r t}...
1
vote
0answers
45 views
Sensitivities under Bachelier process
The sensitivity profile like (delta, vega, gamma etc.) of an option contract is quite established if the valuation model follow ...
1
vote
2answers
132 views
Method of comparing two option pricing models?
I am currently writing a small paper comparing the Black-Scholes formula to the Bachelier model.
However I am wondering how exactly I should compare the two models?
Obviously I am comparing the prices ...
0
votes
1answer
153 views
Bachelier model call option pricing formula with leverage and spread
the call option pricing formula for the plain/vanilla payoff ($S_T-K)^+$) has been resolved, under the Bachelier model here:
Bachelier model call option pricing formula
But can anyone help me with ...
1
vote
1answer
134 views
Bachelier model in terms of normal distribution to simulate price
Bachelier Model is $dS_t = rdt + 𝜎dW_t$ and can also write to $S_t = S_0 + 𝜎W_t$
How can write $W_t$ in terms of normal distribution?
Basically I want to simulated the underlying asset in the ...
