3 ms·
It's also a head-ache for options traders because some options models (black scholes) have log-normal pricing baked in which don't actually allow for the underl
by LittleTimothy 1y ago
It's also a head-ache for options traders because some options models (black scholes) have log-normal pricing baked in which don't actually allow for the underlying asset to go negative. So nevermind worrying about taking delivery, your HFT options desk just had their algo blow up.
- wbl 1y agoNah your desk closed out as the model was starting to choke.
- heavenlyblue 1y agoLooks like they just need to use complex numbers in their calculations?