3 ms·
Related story: I was almost kicked out of a fintech interview in the late 1980's, when I mentioned that there was room to question Black-Sholes. I was thinking
by a9h74j 5y ago
Related story: I was almost kicked out of a fintech interview in the late 1980's, when I mentioned that there was room to question Black-Sholes. I was thinking of an article I had read about "variance noise" in a scientific publication.
VIX is now a how many billion dollar industry? (Not that that defeats Black-Sholes.)
- deepnotderp 5y agoCan you elaborate more? That sounds quite interesting!
- deleted 5y ago[deleted]
- vmception 5y agoBlack-Scholes still is a dumb pricing model, I feel like an options pricing model should factor in the liquidity of the underlying asset and Black-Scholes and other pricing methods I have seen do not. Even though implied volatility is hand waiving away every variable not known, even that is not factoring in underlying liquidity.
- vba616 5y agoDid you predict LTCM would blow up?