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QUANTITATIVE FINANCE 2: We don't use Black-Scholes, the simpler derivation vindicating Bachelier.

N N Taleb's Probability Moocs
103K subscribers
18K views 3 years ago
How instead of using the limit of dt (dynamic hedging) one uses the limit of dK (static hedging, K is the strike) and one can use Bachelier's formula. ...more
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QUANTITATIVE FINANCE 2: We don't use Black-Scholes, the simpler derivation vindicating Bachelier.
How instead of using the limit of dt (dynamic hedging) one uses the limit of dK (static hedging, K is the strike) and one can use Bachelier's formula.

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N N Taleb's Probability Moocs

103K subscribers