May 12th, 2007, 10:35 pm
QuoteOriginally posted by: NIn fact, Black Scholes is never used either (another math orgasm).How do you reconcile your belief with p. 114 of Taleb's Dynamic Hedging or p. 44 of Natenberg's Option Volatility & Pricing? Note: I am not claiming that Black-Scholes is the be-all and end-all of option pricing models. Obviously, we now have SABR, etc. What I'm saying is that Black-Scholes (or variants like Black's model for futures options) has been heavily used by traders in the past and is still used now (SABR can output Black vols that can be fed to a Black pricer to get dollar prices).