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But LTCM wasn't based on options trading, its main strategy (the one that failed) was arbitrage of bonds with different maturity dates: https://en.wikipedia.org
by conistonwater 7y ago
But LTCM wasn't based on options trading, its main strategy (the one that failed) was arbitrage of bonds with different maturity dates: https://en.wikipedia.org/wiki/Long-Term_Capital_Management#Fixed_Income_Arbitrage https://en.wikipedia.org/wiki/Long-Term_Capital_Management#F... That hasn't got much to do with Black-Scholes
- viburnum 7y agoLTCM cracks me up because it should have been obvious that linking a massively liquid market with a not very liquid market was going to be trouble. IIRC when the crisis came it turned out there were only three or four buyers on the tight side, and when they sat on the sidelines it was game over for LCTM.