Academics rework Black-Scholes options pricing model to make it crash-proof
The Nobel Prize-winning options pricing model has been unable to cope with more sophisticated financial markets and avert crashes.
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Two academics have reworked a common investment valuation model so it can cope with conditions in today’s fast-moving financial markets.
The Black-Scholes model was first developed in 1973 and in 1997 it won a Nobel Prize in economics for developing a way to price an options contract before it
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Nevil Gibson
Mon, 06 Mar 2017
Mon, 06 Mar 2017
© All content copyright NBR. Do not reproduce in any form without permission, even if you have a paid subscription.
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Academics rework Black-Scholes options pricing model to make it crash-proof
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