Una grande famiglia felice
Modelli di pricing delle opzioni
Quando nei primi anni '90, lavoravo presso un dealer, mi venne affidato il compito di passare in rassegna i vari modelli di pricing delle opzioni in uso e relazionare l'alta direzione sulla loro adeguatezza. La stesura della relazione si rivelò il compito più difficile; non potendo risolvere il tutto con un "fidatemi di me", mi trovavo costretto a dimostrare a un pubblico non tecnico la validità delle mie conclusioni. Poichß tutti, bene o male, conoscevano il modello di Black-Scholes, decisi che
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