QuantConnect / QuantConnect/Lean
Bachelier option pricing model
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- Dominant language
- C#
- Stars
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- Forks
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- Avg merge
- 2d 22h
- Merged PRs (30d)
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Description
Expected Behavior
We have the Bachelier option pricing model, the option pricing model that IB uses.
@AlexCatarino: A member has reported that CrankNicolsonFD matches Interactive Brokers' data better than BjerksundStensland
Actual Behavior
We don't have the Bachelier option pricing model.
Potential Solution
Add the Bachelier option pricing model.
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
- I have provided detailed steps to reproduce the issue
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start by locating the existing CrankNicolsonFD and BjerksundStensland option-pricing implementations and reviewing how pricing models are exposed. Compare the proposed Bachelier model's expected behavior with the Interactive Brokers reference described in the issue. Done means the model is available and its pricing behavior is covered by suitable validation.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 32/100