A solution to the Bachelier call option price! Reference from video: Connect with me on LinkedIn! / roman-paolucci Follow me on Medium: / romanmichaelpaolucci Check out my GitHub: github.com/RomanMichaelPaolucci
Hi! Great video, thanks very much for it! Just one correction. There seems to be an error: at 8' 30'', the sign in front of "sigma" should be positive (and so it should be in the following equations).
Great video :) Just a reminder, you are refering to the property as if the derivative of the CDF is equal to -x*PDF. However, the truth is that the derivative of the PDF is equal to -x*PDF and that is what is used in the next step of the derivation.
Hi Jared, glad you enjoyed! I have an implementation of the Bachelier model in Python coming out soon and plan to continue with more Python videos going forwad - any particular topic you would be interested in?
Sorry but I am CFA Level II and you lost me halfway. Bachelier was a trader and a practical guy. Being a genius, he gave us a short equation to explain one of the most complex valuations in Derivatives. You should have done the same. Take a real option to explain his equation. I do not wish to take prerequisite course to understand anyone's video. Time is money. ;)
Quant finance requires rigorous understanding of stochastic calculus, if you are not into that then you can simply google bachelier model formula and price derivatives with it on your own. Also, Bachelier was a mathematician.
