[a9h74j]

Related story: I was almost kicked out of a fintech interview in the late 1980's, when I mentioned that there was room to question Black-Sholes. I was thinking of an article I had read about "variance noise" in a scientific publication.

VIX is now a how many billion dollar industry? (Not that that defeats Black-Sholes.)

[vmception]

Black-Scholes still is a dumb pricing model, I feel like an options pricing model should factor in the liquidity of the underlying asset and Black-Scholes and other pricing methods I have seen do not. Even though implied volatility is hand waiving away every variable not known, even that is not factoring in underlying liquidity.

[deepnotderp]

Can you elaborate more? That sounds quite interesting!

[vba616]

Did you predict LTCM would blow up?