 mtsm
|
|
Total Posts: 255 |
Joined: Dec 2010 |
|
|
PJ, what do you mean? I don't understand your original question. |
|
|
|
 |
 pj
|
|
Total Posts: 3601 |
Joined: Jun 2004 |
|
|
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.
|
The older I grow, the more I distrust the familiar doctrine that age brings wisdom
Henry L. Mencken |
|
 |
 TonyC
|
Nuclear Energy Trader |
Total Posts: 1356 |
Joined: May 2004 |
|
|
> 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 |
|
|
 |
 ronin
|
|
Total Posts: 647 |
Joined: May 2006 |
|
|
> 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.
 |
"There is a SIX am?" -- Arthur |
|
 |
|
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
|
|
|
|
 |
 pj
|
|
Total Posts: 3601 |
Joined: Jun 2004 |
|
|
@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 |
|
 |
 tomgailey
|
Banned |
Total Posts: 13 |
Joined: Oct 2020 |
|
| |
 |
 TonyC
|
Nuclear Energy Trader |
Total Posts: 1356 |
Joined: May 2004 |
|
|
> Done. Deliver it to London please
That's the geographic basis, not time-based convenience yield |
flaneur/boulevardier/remittance man/energy trader |
|
 |
 nikol
|
|
Total Posts: 1318 |
Joined: Jun 2005 |
|
|
list of demand-supply flow models being used
https://www.eia.gov/outlooks/documentation/workshops/pdf/Review%20of%20Natural%20Gas%20Models.pdf |
... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c) |
|
|
 |