Discussion in 'Options' started by TradingPilot, May 1, 2007.
How the heck did you guys trade before the Black-Scholes model??
Ed Thorp had a pricing model that anticipated Black-Scholes, which he used to price warrants to great effect. That was in the mid-Sixties and there was a lot of mispricing. There were no exchange traded options until 1973, interestingly when the Black-Scholes paper was published.
Rational Theory of Warrant Pricing
Industrial Management Review
Among others. Nornal approximation models all.
If I were him I would've kept that model a secret, and just traded mispriced options. Make a lot more that way.
Separate names with a comma.