News for hackers. Stuff that matters.

A comment on The First Hedge Fund. Parent comment

Re:The First Hedge Fund by belter on Tuesday June 25, 2024 @10:17AM (#40788962)
Doubt it. If you go to market with Black-Scholes you will lose money.

https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&d...

"Why We Never Use the Black Scholes Equation" - https://youtu.be/UoGlUZPNouM

[ Parent | on HN ]
Re:The First Hedge Fund by belter on Tuesday June 25, 2024 @02:12PM (#40791654)
"Warren Buffett: Black-Scholes Formula Is Total Nonsense" - https://youtu.be/H4X-4e7fPgI
[ Parent | on HN ]
Re:The First Hedge Fund by HFguy on Tuesday June 25, 2024 @08:24PM (#40795207)
You would make money because the other tools in use at the time were much worse and people were pricing options poorly. So plenty of opportunities. Hence why Ed thorp did well.

It will not work today. For starters, it makes a bunch of simplifying assumptions. And there are better models. It also misses a number of important dynamics.

[ Parent | on HN ]