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Blair Fix @blair_fix · Feb 11, 2023
  • From Twitter

An interesting paper from @d_orrell and Larry Richards. It argues that there's a major flaw in the Black-Scholes model of options pricing. The problem? Price volatility seems to be a function of the strike price.

Paper Sep 17, 2022
Keep on Smiling: Market Imbalance, Option Pricing, and the Volatility Smile
by David Orrell
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