One big happy family
One of the great challenges of the past two decades has been to keep up to date with the rapid evolution of option pricing models. In an update of an article first published in 1991, Charles Smithson tracks the ongoing development of these models
When I worked at one of the dealer banks in the early 1990s, I was assigned the task of reviewing the various option pricing models that were in use there and reporting on the appropriateness of the models to senior management. The reporting turned out to be the hard part: since 'trust me' was not going to do it, I needed to find a way to show a non-technical audience how I drew my conclusions about appropriateness. I realised that, since everyone understood Black-Scholes at one level or another
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Awards
Asia Risk Technology Awards 2024
All of the winners of this year's Asia Risk Technology Awards
Energy Risk Asia Awards 2024: The winners
Winning firms adapt to change with exemplary risk management skills
Counterparty risk innovation of the year: Cumulus9
Cumulus9 proved standout vendor by bringing inventive solutions to the market, securing the award for Counterparty risk innovation of the year at the Risk Technology Awards 2024
Life and pensions ALM system of the year: Conning
Conning proved to be a standout vendor in the life insurance and pensions space and secured the Life and pensions ALM system of the year award at the Risk Technology Awards 2024
Joining the dots: banks leverage tech advancements for the future of regulatory reporting
The continued evolution of regulatory frameworks is creating mounting challenges for capital markets firms in achieving comprehensive and cost-effectiveawa compliance reporting. Regnology discusses how firms are starting to use a synthesis of emerging…
Markets Technology Awards 2024 winners' review
Vendors spy opportunity in demystifying and democratising – opening up markets and methods to new users
Derivatives house of the year: JP Morgan
Risk Awards 2024: Response to regional banking crisis went far beyond First Republic
Risk Awards 2024: The winners
JP Morgan wins derivatives house, lifetime award for El Karoui, Barclays wins rates