tradingjournals, Martinghoul will show you how binomial model works. I played the game, show you how useless a simple value can be (BTW, how would you get the maturity ? Don't tell us you'd need a model ! ) I 'm sure that you got something more interesting to show now. So you can price an option without a model ? Let's see that.
Please feel free to post your derivations. I think you will get credit for the derivations. The question was: "If you make the derivative with respect to stock price, does anything come up?"
To be honest, I am not sure I want to participate in this strange endeavor, MaW. I am really confused about the exact purpose of the discussion. As far as I can see, tj is, basically, demonstrating to us the marvelous power and self-consistency of BSM. Or should I say the power of Louis Bachelier? I should think that pricing options in the hypothetical "0-42" mkt is not too challenging, once you make an assumption about the process.
I can't agree more I just wonder how he would include demand and supply in his pricing scheme to match market prices.
The only thing that may be worthwhile until now using TJ's trick, is to show how ATMF call delta is up to 0.5 (ATMF call delta=0.5+0.5C/S, and as far as C>0 and S>0, ATMF call delta>0.5 ). But it's not new (See Derman ).