Questions tagged [bachelier]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
3
votes
1answer
85 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
1answer
114 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 ...
1
vote
2answers
128 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 ...
1
vote
0answers
42 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 ...
0
votes
1answer
144 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 ...