Michael Lewis has an article about how the markets have begun to realize that the Black-Scholes model for risk doesn’t really work:
“No one believes the original assumptions anymore,” says John Seo, who co-manages Fermat Capital, a $2 billion-plus hedge fund that invests in catastrophe bonds—essentially bonds with put options that are triggered by such [...]
Archive for February, 2008
Another nail in the Black-Scholes coffin
Posted in biases on February 21, 2008 | 1 Comment »
