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by freebee56
1894 days ago
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I used to work on options MM desk. Even though BS is not correct in magnitude (e.g. our quants used some black magic to get deltas at the tails, which even then we're quite off from what CME was giving) it is directionally correct. Just having an intellectual grasp of what caused a shift in the price can be very useful. The problem IMHO is that way too much energy has been spent improving it by old school quants vs exploring other approaches ( e.g. a limes regression works quite well for daily fx option movements) |
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