A Black-Scholes User's Guide to the Bachelier Model
| Autor: | Chyng Wen Tee, Minsuk Kwak, Jaehyuk Choi, Yumeng Wang |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Economics and Econometrics
History Polymers and Plastics Coronavirus disease 2019 (COVID-19) media_common.quotation_subject Black–Scholes model Recession Industrial and Manufacturing Engineering FOS: Economics and business Accounting Econometrics Economics Business and International Management Risk management media_common Stochastic volatility business.industry Mathematical Finance (q-fin.MF) General Business Management and Accounting Quantitative Finance - Mathematical Finance Valuation of options Pricing of Securities (q-fin.PR) Volatility (finance) business Quantitative Finance - Pricing of Securities Futures contract Finance |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3828310 |
| Popis: | To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges temporarily switched the option model from Black--Scholes to Bachelier in 2020. This study reviews the literature on Bachelier's pioneering option pricing model and summarizes the practical results on volatility conversion, risk management, stochastic volatility, and barrier options pricing to facilitate the model transition. In particular, using the displaced Black-Scholes model as a model family with the Black-Scholes and Bachelier models as special cases, we not only connect the two models but also present a continuous spectrum of model choices. |
| Databáze: | OpenAIRE |
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