-
- Jaehyuk Choi
- HSBC Business School Peking University Shenzhen China
-
- Minsuk Kwak
- Department of Mathematics Hankuk University of Foreign Studies Yongin Republic of Korea
-
- Chyng Wen Tee
- Lee Kong Chian School of Business Singapore Management University Singapore
-
- Yumeng Wang
- Bank of Communications Shanghai China
説明
<jats:title>Abstract</jats:title><jats:p>To cope with the negative oil futures price caused by the COVID–19 recession, global commodity futures exchanges temporarily switched the option model from Black–Scholes to Bachelier in 2020. This study reviews the literature on Bachelier's pioneering option pricing model and summarizes the practical results on volatility conversion, risk management, stochastic volatility, and barrier options pricing to facilitate the model transition. In particular, using the displaced Black–Scholes model as a model family with the Black–Scholes and Bachelier models as special cases, we not only connect the two models but also present a continuous spectrum of model choices.</jats:p>
収録刊行物
-
- Journal of Futures Markets
-
Journal of Futures Markets 42 (5), 959-980, 2022-02-16
Wiley
