Monday, April 20, 2020

Bachelier model

Patriarca da Cabala: just highlighted that it was used in energy models.


The '''Model of Bachelier''' is the name given by a model of an asset price under brownian motion presented by [[Louis Bachelier]] on his PhD thesis ''The Theory of Speculation'' (''Théorie de la spéculation'', published 1900).

On the day of 2020-04-08, [[CME Group]] posted the note ''CME Clearing Plan to Address the Potential of a Negative Underlying in Certain Energy Options Contracts''<ref></ref>, saying that after a threshold on price, it would change energy options model from [[Geometric Brownian Motion]] model and [[Black–Scholes model]] to Bachelier model. In the day 2020-04-20, oil prices reached for first time in history negative values<ref>Liquid error: wrong number of arguments (given 1, expected 2)</ref>, where Bachelier model took an important role in option pricing and risk management.

==References==


from Wikipedia - New pages [en] https://ift.tt/2VNhceT
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