The FairPut Initiative

Cool pop music by Dua Lipa "Break My Heart".
IMO "mathematically" perfectly made :) and IMO best heard w/o the video as it distracts from the real music.
 
Btw, I will not be sad/disappointed/unhappy if anybody else comes up mathematically
proving that the BSM option pricing is incorrect, ie. not exact. On the contrary! :)

Same, if someone else finds the correct option pricing model before me.
It really doesn't matter for me. What matters is finally to have the one and only correct pricing model.
 
I'm hopeful to be able to present today very first experimental test results of my new option pricing model.
It will have also the corresponding BSM numbers for easy comparison between the two pricing engines.

But whether the FairPut algorithm (for equal payoff for CALL and PUT at same z distance) will work with it without causing arbitrage, is not tested yet.
 
Here's the first result:
Code: 
Black-Scholes-Merton (BSM) option pricing model:
BSM(S=100, K=100, t=1, s=30%, r=0%, q=0%):
  CALL=11.923538474048 PUT=11.923538474048


FairPut option pricing model (FPM):
FPM(S=100, K=100, t=1, s=30%, r=0%, q=0%):
  CALL=11.791142218895 PUT=11.791142218895

As can be seen, there is a difference between BSM and FPM, even with r=q=0.
I'm sure that FPM is correct since the maths behind it is solid.
And if FPM is correct, then of course BSM can only be wrong...

Btw, this also reveals/discloses the true meaning of the "crypto" in the original posting. :)
 
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i found the criminal conspiracy in the black-scholes equation this weekend while my kids were playing outside. i have already used it to earn 28MM.

upload_2020-8-31_13-35-45.png
 
newwurldmn said:
i found the criminal conspiracy in the black-scholes equation this weekend while my kids were playing outside. i have already used it to earn 28MM.
More...
I told ye, man!... :)
Too bad it's only a paper trading (aka demo) account, or is it? :)
 
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I warned that this will happen when you go announcing to the world about what you found. I already see the opportunities slowly closing. You should have kept quiet and traded the alpha out of this.
@thecoder
 
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