Valuation models

Bachelier (normal)

Price, implied normal volatility and Greeks for options on rates that can be negative.

Inputs

Results

Explain this result

Get a plain-English reading of the numbers above and what drives them.

Preview: rule-based reading. AI-assisted explanations run on the analytics core.

Methodology

Conventions

  • Normal (absolute) forward moves; forward and strike may be negative.

References

  • Bachelier (1900)

Formulas

Call
C = D [(F − K) N(d) + σ√T φ(d)]
d
d = (F − K) / σ√T