Doug Henwood <[email protected]> wrote: > My first job out of college was working for a Bell Labs physicist who'd left > the field for Wall Street. His idea was to apply computer modeling to the > pricing of listed options, which had just started trading. He'd do a run > every morning via some timesharing arrangement with an MIT guy that > identified under- and overpriced options using the Black-Scholes model > (published in 1973). I used to hand-deliver some to clients around Wall > Street, then come back and use my rudimentary Fortran skills to work on other > pricing models. It was slow and very obscure. Almost no one listened to him - > he had like 10 subscribers in 1975. Clearly, the ability to do that sort of > thing in real time right at your desk has made an enormous difference - and > now you don't even need human traders to enter the orders.<
in an article I read by McKenzie, he suggests that early on a lot of the calculations were done by using a book, which showed option prices calculated for standard cases. That sped things up a bit. -- Jim Devine / If you're going to support the lesser of two evils, you should at least know the nature of that evil. _______________________________________________ pen-l mailing list [email protected] https://lists.csuchico.edu/mailman/listinfo/pen-l
