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Oil Futures Volatility Smiles in 2020: Why the Bachelier Smile is Flatter

Oil Futures Volatility Smiles in 2020: Why the Bachelier Smile is Flatter

NYU Tandon School of Engineering via YouTube Direct link

Put Option

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Put Option

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Oil Futures Volatility Smiles in 2020: Why the Bachelier Smile is Flatter

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  1. 1 Introduction
  2. 2 Presentation
  3. 3 Bachelor Model
  4. 4 Objective
  5. 5 Differences
  6. 6 Model
  7. 7 Put Option
  8. 8 Skew
  9. 9 Black and Bachelor
  10. 10 logarithmic mean
  11. 11 data analysis
  12. 12 theoretical analysis
  13. 13 real data
  14. 14 normalization
  15. 15 skewing
  16. 16 conclusions
  17. 17 Ken Winston

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