How much math do you really need to make markets in stock options? - John Dodson

IMA Industrial Problems Seminar
Speaker: John Dodson (Options Clearing Corporation)
"How much math do you really need to make markets in stock options?"
Abstract: : Using actual data from the listed securities and securities options markets, we investigate the applicability of the Black-Scholes-Merton framework for financial engineering and investigate the implications of the various standard assumptions and unmodeled features of these markets.
Presented virtually for the University of Minnesota on 1/26/2024.
You can learn more about the IIMA Industrial Problems Seminar here: cse.umn.edu/im...