raghu wrote: > Isn't there a circularity in this process - to use Black-Scholes or > similar models you need to refer back to the price history to estimate > some implied volatility numbers which will then be fed into the > Black-Scholes model to generate prices for new financial products etc? > > The whole process could, in principle, converge to some kind of a > fixed point where prices and model confirm each other, but I'd imagine > these would be highly unstable.
that's sort of what MacKenzie argued in the article in the book that I reviewed. -- 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
