Forums  > Pricing & Modelling  > a Bachelier model vs shifted Black model  
     
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mtsm


Total Posts: 254
Joined: Dec 2010
 
Posted: 2020-09-11 21:58
PJ, what do you mean? I don't understand your original question.

pj


Total Posts: 3555
Joined: Jun 2004
 
Posted: 2020-09-14 09:57
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: 1352
Joined: May 2004
 
Posted: 2020-09-15 16:15
> 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: 608
Joined: May 2006
 
Posted: 2020-09-16 09:46
> 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.

Cool

"There is a SIX am?" -- Arthur

silverside


Total Posts: 1425
Joined: Jun 2004
 
Posted: 2020-10-01 00:21
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: 3555
Joined: Jun 2004
 
Posted: 2020-10-01 18:07
@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
 
Posted: 2020-10-02 11:34
nice)

TonyC
Nuclear Energy Trader

Total Posts: 1352
Joined: May 2004
 
Posted: 2020-10-11 19:36
> 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: 1231
Joined: Jun 2005
 
Posted: 2020-10-13 17:08
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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