Here's the proof that the Black-Scholes-Merton (BSM) option pricing model is WRONG as it creates arbitrage: https://www.elitetrader.com/et/threads/the-fairput-initiative.349291/page-5#post-5189610
%% May have worked better; before LTC blow up??..........................................................
An updated proof: https://www.elitetrader.com/et/threads/the-fairput-initiative.349291/page-6#post-5189710
Apparently Black & Scholes got the Nobel for the ingenious way to completely remove the risk (growth rate) from an option price by means of delta hedging. Mathematically it's a very clever thing indeed. And used to work good enough, in the 2000s my employer was making good money with it. But all these firms or superrtaders that made money. They did it like 20 years ago. Technology was not so advanced and low hanging fruit was still there. Today it vanished. No Black Scoles anymore. Not sure if anything anymore.
@thecoder stop manipulating the traffic to your other post. Your work and intentions are questionable. Reported.