bachelier

Bachelier formula and implied volatility

• bachelierFormula prices a vanilla European option under the Bachelier (normal) model.
• bachelierImpliedVolatility finds the Bachelier volatility for a given vanilla option price, using the fast and machine accurate rational representation of Le Floc'h.

References

Le Floc'h, F. (2016) Fast and Accurate Analytic Basis Point Volatility