options trading before BSM

theDude · Post by **theDude** » Thu Dec 02, 2010 3:07 am

here you go.

granchio · Post by **granchio** » Thu Dec 02, 2010 10:00 am

thanks. that does not seem model independent to me - some process has to be chosen, or they use historical data.

i meant model independent in the sense that a varswap is model independent

theDude · Post by **theDude** » Thu Dec 02, 2010 2:55 pm

true, one has to generate the paths somehow (though with an objective distribution which is intuitive to me). I did like the fact that it simply operates in the price space and other things kinda just emerge (like the skew from historical data). Are you aware of anything that has this flavor to it? thanks.

pj · Post by pj » Thu Dec 02, 2010 3:03 pm

> model independent in the

>sense that a varswap is model

> independent

Couldn't resist.

There do are some modelling assumptions made in there.