Black Scholes Turns 50
Listen now
Description
As we cue up some new guests for the Alpha Exchange, some reflections from your host on the Black Scholes model and its 50th anniversary. No model is perfect and traders must grapple with real world frictions not entertained by the model. I discuss how option market participants make adjustments and why. Hope you enjoy!
More Episodes
There’s been some decent ink spilled recently on the “dispersion trade” which has profited from the epically low level of realized correlation among stocks. If winning trades attract capital and erode the margin of safety in the process, is this exposure crowded and vulnerable to an unwind? In...
Published 06/20/24
Published 06/20/24
Earning a Ph.D. in financial economics is no small feat. And not only did Garrett DeSimone do just that, but he would unknowingly embark on his future career in the process of doing so. His dissertation from the University of Delaware involved the study of event risk premia in single stocks ahead...
Published 06/18/24
Links
Twitter
Facebook
Instagram
Patreon
Genres
Artwork or description wrong?
Request an update »
Updates may take a few minutes.
Do you host a podcast?
Track your ranks and reviews from Spotify, Apple Podcasts and more.
See hourly chart positions and more than 30 days of history.
Get Chartable Analytics »
See hourly chart positions and more than 30 days of history.
