Here's the proof that Black-Scholes-Merton (BSM) is WRONG

[destriero]

Apparently Black & Scholes got the Nobel for the ingenious way to completely remove the risk (growth rate) from an option price by means of delta hedging.

Mathematically it's a very clever thing indeed. And used to work good enough, in the 2000s my employer was making good money with it.

But all these firms or superrtaders that made money.

They did it like 20 years ago. Technology was not so advanced and low hanging fruit was still there.

Today it vanished. No Black Scoles anymore. Not sure if anything anymore.

How are you and this coder idiot not the same person? Your posts account for the fall of modern Germany.

 

[Atikon]

Apparently Black & Scholes got the Nobel for the ingenious way to completely remove the risk (growth rate) from an option price by means of delta hedging.

Mathematically it's a very clever thing indeed. And used to work good enough, in the 2000s my employer was making good money with it.

But all these firms or superrtaders that made money.

They did it like 20 years ago. Technology was not so advanced and low hanging fruit was still there.

Today it vanished. No Black Scoles anymore. Not sure if anything anymore.

You're commenting on your own threads now?

 

[.sigma]

BSM IZ RONG

DA CODAH IZ RITE

 

[Cuddles]

what do we have here...a future Nobel Laureate?

 

[Windlesham1]

I've argued for years that almonds are under-priced according to my formula.
It's a frikkin' market I doubt any of us with our 40-80 lots a month are going to change anything. We are just buyers/sellers at a market. The big boys can do whatever they like I trade on their coat tails

 

[taowave]

How about you walk us thru the riskless arbitrage...
Buy the call at 22..
Im assuming you will sell stock to hedge,as you are "creating arbitrage"..
Now what??

Giddy up Cowboy

Here's the proof that the Black-Scholes-Merton (BSM) option pricing model is WRONG as it creates arbitrage:
https://www.elitetrader.com/et/threads/the-fairput-initiative.349291/page-5#post-5189610

 

[newwurldmn]

How about you walk us thru the riskless arbitrage...
Buy the call at 22..
Im assuming you will sell stock to hedge,as you are "creating arbitrage"..
Now what??

Giddy up Cowboy

you should build an excel spreadsheet to show him and then prove that Microsoft (with Bill gates the vaccinator) aren’t part of the criminal conspiracy promoting The black scholes formula.

 

[BlueWaterSailor]

How about you walk us thru the riskless arbitrage...
Buy the call at 22..
Im assuming you will sell stock to hedge,as you are "creating arbitrage"..
Now what??

Hookers and blow, of course. The intermediate steps are utterly trivial and therefore left up to the student.

Giddy up Cowboy

Better watch out... he's going to make all the money in the world a few minutes after the next session opens, and then you'll be sorry!

 

[.sigma]

I've argued for years that almonds are under-priced according to my formula.
It's a frikkin' market I doubt any of us with our 40-80 lots a month are going to change anything. We are just buyers/sellers at a market. The big boys can do whatever they like I trade on their coat tails

my cousins father cornered the almond market years ago, Easy stat arb bro

 

[BlueWaterSailor]

my cousins father cornered the almond market years ago, Easy stat arb bro

I'm tellin ya, man - old Karl Marx had something there. I mean, if you feel like your labor is worth $100/hour, and you spend three hours making a nail, then by damn that nail is worth $300. Ain't no way to argue anything that solid, and the gubmint should oughta make everybody pay up!

Now all we need to do is come up with a way to fiddle that into options pricing, and we're set. We'll give Comrade thecoder appropriate credit, of course - it'll be the BSMKMtc from now on...