Things We Think We Know

L.C.G. Rogers

Chapter 9 in Options — 45 Years since the Publication of the Black–Scholes–Merton Model:The Gershon Fintech Center Conference, 2023, pp 173-184 from World Scientific Publishing Co. Pte. Ltd.

Abstract: A model is useless if it cannot be taken to data, so it makes sense to begin modeling by looking at the data. Simple exploratory techniques can quickly reveal stylized facts of the data, and may suggest modeling hypotheses, but it is important to be cautious before jumping to conclusions, and to keep an open mind about other possibilities. This chapter considers some examples related to asset returns.

Keywords: Options; Call; Put; Stock; Equity; Bond; Debt; Dividend; Investment; Diversification; Volatility; Black–Scholes; Merton Model; Stochastic; Swap; Commodity; Index; Contingent Claims; Exotic Option (search for similar items in EconPapers)
JEL-codes: C C02 G1 G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
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