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I thought now with securities with negative interest there were a lot of securities that now had to take that into account and black-scholes is just no help wha

• JumpCrisscross 7y ago
  > with negative interest there were a lot of securities that now had to take that into account and black-scholes is just no help whatsoever there Not really. Black-Scholes (and its variants) tend to assume log-normal rates distributions. But that’s just a default, and one chosen with the explicit assumption of positive rates. Most practitioners have had custom curves for decades; using one that pierces zero is a trivial modification.