mtsm
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| Total Posts: 254 |
| Joined: Dec 2010 |
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| PJ, what do you mean? I don't understand your original question. |
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pj
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| Total Posts: 3555 |
| Joined: Jun 2004 |
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I was thinking of some way to use the existing Black Scholes pricer
to get the prices in Bachelier model
Something like
Call_Bachelier(S,K,sigma_Bachelier)
approximately equals
Call_BlackScholes(S_1,K_1, sigma_BlackScholes)
where S_1, K_1, sigma_BlackScholes are functions
of S, K, sigma_Bachelier.
Or thing like that.
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The older I grow, the more I distrust the familiar doctrine that age brings wisdom
Henry L. Mencken |
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TonyC
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| Nuclear Energy Trader |
| Total Posts: 1352 |
| Joined: May 2004 |
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> Finally, power. "I'm gonna buy myself some morning power, then
> pay some convenience yield, and use it in the evening" - yeah, just no.
I'm going to buy me two evenings of weekend power, run it through some pump storage hydro, and short Monday afternoon power. |
flaneur/boulevardier/remittance man/energy trader |
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ronin
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> I'm going to buy me two evenings of weekend power, run it through some pump storage hydro, and short Monday afternoon power.
Done. Deliver it to London please.
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"There is a SIX am?" -- Arthur |
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Adding "X" to all the spots and strikes was a common shortcut back in the day for those who didn't feel like writing a Bachelier pricing model and integrating it into the infra... X usually being a round number like 100 or 1000000
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pj
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@Silverside.
But of course...
Thank you very much! |
The older I grow, the more I distrust the familiar doctrine that age brings wisdom
Henry L. Mencken |
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tomgailey
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| Banned |
| Total Posts: 13 |
| Joined: Oct 2020 |
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TonyC
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| Nuclear Energy Trader |
| Total Posts: 1352 |
| Joined: May 2004 |
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> Done. Deliver it to London please
That's the geographic basis, not time-based convenience yield |
flaneur/boulevardier/remittance man/energy trader |
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nikol
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list of demand-supply flow models being used
https://www.eia.gov/outlooks/documentation/workshops/pdf/Review%20of%20Natural%20Gas%20Models.pdf |
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