Re:The Trillion Dollar Equation [video]
by mhh__ on Sunday March 03, 2024 @01:26PM
(#39583000)
Taleb and Derman have argued that put call parity implies BS but other disagree quite strongly.
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Under reasonable assumptions, put call parity is true so it's not an important statement to say that it implies BS.
You still need additional assumptions about the delta hedged PnL, no?
Re:The Trillion Dollar Equation [video]
by JumpCrisscross on Monday March 04, 2024 @01:32AM
(#39587620)
> Taleb and Derman have argued that put call parity implies BS but other disagree quite strongly
I mean sure. They're related. Same way the Michelson-Morley experiment implied special relativity. That doesn't detract from Einstein specifying just how. (Derman is legit but Taleb is a hack.)