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Doubt it. If you go to market with Black-Scholes you will lose money. https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=e76dfb7ba25ffd6820b6177041

by belter 2y ago

Doubt it. If you go to market with Black-Scholes you will lose money. https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=e76dfb7ba25ffd6820b6177041df3e084c06a73c https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&d... "Why We Never Use the Black Scholes Equation" - https://youtu.be/UoGlUZPNouM https://youtu.be/UoGlUZPNouM

belter 2y ago
"Warren Buffett: Black-Scholes Formula Is Total Nonsense" - https://youtu.be/H4X-4e7fPgI https://youtu.be/H4X-4e7fPgI
HFguy 2y ago
You would make money because the other tools in use at the time were much worse and people were pricing options poorly. So plenty of opportunities. Hence why Ed thorp did well. It will not work today. For starters, it makes a bunch of simplifying assumptions. And there are better models. It also misses a number of important dynamics.