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The Pricing of Options and Corporate Liabilities (1973) [pdf]

27 点作者 jpelecanos超过 7 年前

1 comment

brockwhittaker超过 7 年前
I would reference this as one would reference a physics book from a hundred years ago — a possibly decent starting point but old knowledge that has been proven incorrect in dangerous ways.<p>For example, the Black Scholes model that was developed in 1973 assumes a normal distribution, which is not only wrong, but an extremely dangerous misunderstanding of the markets that leads to the underestimation of Black Swan events and rail risk.
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