Choi, Jaehyuk; Kwak, Minsuk; Tee, Chyng Wen; Wang, Yumeng - 2021
To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges switched the option model from Black-Scholes to Bachelier in April 2020. This study reviews the literature on Bachelier's pioneering option pricing model and summarizes the practical...