Implementing the Bachelier Option Pricing model in Python (Part 1)
3 years ago
189
I recently received a question about the Bachelier model, a historical model from around 1900. It has regained some use as of late, with the CME using it since it allows for negative commodity prices. In this video, we’ll build out a Python function to return the Bacheleier price of a call. We’ll then compare this to the Back Scholes model. Lastly we will show to to numerically calculate the greeks associated with this model and use vega to calculate the volatility given the price of a call.
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