Choi, Jaehyuk; Kwak, Minsuk; Tee, Chyng Wen; Wang, Yumeng - 2021
switched the option model from Black-Scholes to Bachelier in April 2020. This study reviews the literature on Bachelier … 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 …