Implementing the Bachelier Option Pricing model in Python (Part 2)

3 years ago
26

In this video, we show how we can use put-call parity to build on our previous work and get the Bachelier put price. In the second part, we will play around with Sympy, Python’s symbolic algebra library. We will evaluate the call pricing model as we did numerically, but will use Sympy’s capabilities to get an analytical expression for Delta using the Bachelier model. We’ll compare that number to that we’d get using the Black-Scholes formula.

Part 1: https://youtu.be/L-YRF2A9MHE

Github: https://github.com/kpmooney/numerical_methods_youtube/blob/master/bachelier_model/Bachelier%20Model%202.ipynb

Tipjar: https://paypal.me/kpmooney

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