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Taleb and Derman have argued that put call parity implies BS but other disagree quite strongly.
by mhh__ 3y ago
Taleb and Derman have argued that put call parity implies BS but other disagree quite strongly.
- lupire 3y agoUnder reasonable assumptions, put call parity is true so it's not an important statement to say that it implies BS.
- mhh__ 3y agoYou still need additional assumptions about the delta hedged PnL, no?
- JumpCrisscross 3y ago> Taleb and Derman have argued that put call parity implies BS but other disagree quite strongly I mean sure. They're related. Same way the Michelson-Morley experiment implied special relativity. That doesn't detract from Einstein specifying just how. (Derman is legit but Taleb is a hack.)