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Found 2 papers, 2 papers with code
A Black-Scholes user's guide to the Bachelier model
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.
Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion
We provide an accurate approximation method for inverting an option price to the implied volatility under arithmetic Brownian motion, which is widely quoted in Fixed Income markets.
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