Questions tagged [bachelier]

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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
90 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
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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
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2answers
131 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
149 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
132 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 ...