Search Results for author: Chyng Wen Tee

Found 1 papers, 1 papers with code

A Black-Scholes user's guide to the Bachelier model

2 code implementations18 Apr 2021 Jaehyuk Choi, Minsuk Kwak, Chyng Wen Tee, Yumeng Wang

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.

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