Black–Scholes model
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The Black–Scholes or Black–Scholes–Merton model is a mathematical model for the dynamics of a financial market containing derivative investment instruments. From the parabolic partial differential equ
Simulated geometric Brownian motions with parameters from market data
The normality assumption of the Black–Scholes model does not capture extreme movements such as stock market crashes.
Long-Term Capital Management
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Long-Term Capital Management L.P. was an American hedge fund which used highly leveraged strategies. In 1998 when LTCM was on the verge of collapse, the fund received a $3.6 billion bailout from a gro
Black–Scholes model
…of finance and earned its creators the 1997 Nobel Prize in Economics." BBC Horizon A TV-programme on the so-called Midas formula and the bankruptcy of Long-Term Capital Management (LTCM) BBC News Magazine Black–Scholes: The maths formula linked to the financial crash (April 27, 2012 article…
Robert C. Merton
The Federal Reserve Bank of New York (pictured), the site of a September 23, 1998, meeting to rescue LTCM; in attendance were representatives of Bankers Trust, Bear Stearns, Chase Manhattan, Goldman Sachs, J.P. Morgan, Lehman Brothers, Merrill Lynch, Morgan Stanley Dean Witter, and Salomon Smith Barney.