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• W2182987541 abstract "Options traders use a pricing formula which they adapt by fudging and changing the tails and skewness by varying one parameter, the standard deviation of a Gaussian. Such formula is popularly called Black-Scholes-Merton owing to an attributed eponymous discovery (though changing the standard deviation parameter is in contradiction with it). However we have historical evidence that 1) Black, Scholes and Merton did not invent any formula, just found an argument to make a well known (and used) formula compatible with the economics establishment, by removing the parameter through dynamic hedging, 2) Option traders use (and evidently have used since 1902) heuristics and tricks more compatible with the previous versions of the formula of Louis Bachelier and Edward O. Thorp (that allow a broad choice of probability distributions) and removed the risk parameter by using put-call parity. 3) Option traders did not use formulas after 1973 but continued their bottom-up heuristics. The Bachelier-Thorp approach is more robust (among other things) to the high impact rare event. The paper draws on historical trading methods and 19 th and early 20 th century references ignored by the finance literature. It is time to stop calling the formula by the wrong name." @default.
• W2182987541 created "2016-06-24" @default.
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• W2182987541 date "2008-01-01" @default.
• W2182987541 modified "2023-09-26" @default.
• W2182987541 title "Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula" @default.
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