Forums  > Pricing & Modelling  > a Bachelier model vs shifted Black model  
     
Page 2 of 2Goto to page: 1, [2] Prev
Display using:  

mtsm


Total Posts: 253
Joined: Dec 2010
 
Posted: 2020-09-11 21:58
PJ, what do you mean? I don't understand your original question.

pj


Total Posts: 3530
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: 1347
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: 597
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
Previous Thread :: Next Thread 
Page 2 of 2Goto to page: 1, [2] Prev