Black-Scholes option pricing model: Difference between revisions
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The source of a ''lot'' of trouble, especially when used, as it habitually is, to manage risk in [[complex system]]s. | The source of a ''lot'' of trouble, especially when used, as it habitually is, to manage risk in [[complex system]]s. The owners of [[Long-Term Capital Management]], and for that matter, their counterparties and much of the financial system discovered this to their surprise and cost during the Russian crisis of 1998. It is a lesson that folks are yet to learn. | ||
{{sa}} | {{sa}} | ||
*[[LTCM]] | |||
*{{br|Models.Behaving.Badly}} | *{{br|Models.Behaving.Badly}} | ||
*{{br|When Genius Failed}} | *{{br|When Genius Failed}} | ||
*{{br|Inventing Money}} | *{{br|Inventing Money}} | ||
Revision as of 10:27, 5 August 2020
The source of a lot of trouble, especially when used, as it habitually is, to manage risk in complex systems. The owners of Long-Term Capital Management, and for that matter, their counterparties and much of the financial system discovered this to their surprise and cost during the Russian crisis of 1998. It is a lesson that folks are yet to learn.