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Option Pricing Models

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When I worked at one of the dealer banks in the early 1990s, I was assigned the task of reviewing the various option pricing models that were in use there and reporting on the appropriateness of the models to senior management. The reporting turned out to be the hard part: since 'trust me' was not going to do it, I needed to find a way to show a non-technical audience how I drew my conclusions about appropriateness. I realised that, since everyone understood Black-Scholes at one level or another

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The 2022 Risk Technology Awards recognised products and services that helped firms steer through the Covid-19 pandemic, a testament to the winners’ resilience in the face of unprecedented disruption and the key role they play in today’s markets. This…

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