Welcome to a non-Black-Scholes world
1 January 2001
This article was originally published in Journal of Quantitative Finance Vol 1, Issue 5, 2001. Access the online journal here.
Jean-Phillipe Bouchaud and Marc Potters, citing option markets and risk awareness, challenge the view that the Black-Scholes model needs little improvement - in fact, it should be seen as a special case of a more general theory.