Una grande famiglia felice
Una delle grandi sfide degli ultimi vent'anni è stata tenere il passo con la rapida evoluzione dei modelli di pricing delle opzioni. Nel presente lavoro, che costituisce l'aggiornamento di un precedente articolo pubblicato per la prima volta nel 1991, Charles Smithson traccia gli attuali sviluppi
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
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