Sprenkle 1964 Option Pricing Model w/ Num. Greeks is an adaptation of the Sprenkle 1964 Option Pricing Model in Pine Script. The following information is an except from Espen Gaarder Haug's book "Option Pricing Formulas".
The Sprenkle Model
Sprenkle (1964) assumed the stock price was log-normally distributed and thus that the asset price followed a geometric...
Modified Bachelier Option Pricing Model w/ Num. Greeks is an adaptation of the Modified Bachelier Option Pricing Model in Pine Script. The following information is an except from Espen Gaarder Haug's book "Option Pricing Formulas".
Before Black Scholes Merton
The curious reader may be asking how people priced options before the BSM breakthrough was published...
![WMT: Sprenkle 1964 Option Pricing Model w/ Num. Greeks [Loxx]](https://s3.tradingview.com/3/3ERjyUcZ_mid.png "Sprenkle 1964 Option Pricing Model w/ Num. Greeks [Loxx]")
![WMT: Modified Bachelier Option Pricing Model w/ Num. Greeks [Loxx]](https://s3.tradingview.com/k/KTT2ddmK_mid.png "Modified Bachelier Option Pricing Model w/ Num. Greeks [Loxx]")