2 stories tagged with #option-pricing, in publish-time order across the WeSearch catalog. Tag pages update as new stories ingest.
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R/ASKHISTORIANS
Trading options in the 1600s was well utilized during the Tulip Bubble and trading the Dutch East Indies stock. Do we know how they set prices without knowing volatility/time decay etc, bell curve distributions or Black Scholes modeling? Was their option pricing very inaccurate vs today’s models?
ARXIV.ORG
An Explicit Solution to Black-Scholes Implied Volatility
This paper identifies what appears to be the first explicit formula for Black-Scholes implied volatility, resolving a 50-year-old problem in option pricing. The key observation is …