Aaron Brown's baseball analogy for CRR option trees

[TonyC]

I seem to recall that Aaron had an example of hedging out a baseball bet through time along a 9 level Cox Ross Rubinstein tree. no talks of stock strikes or volatility etc. just the progression of a game through 9 innings and how one would bet during each inning to stay hedged. a truly understandable analogy for the uninitiated.



I can't seem to find the article anywhere. googling "Aaron Brown baseball" gets me results for some kid from Vanderbilt thats now in the majors, adding "aaron brown baseball option tree" to the search string doesn't help.



anybody remember this article of Arron's and where it mightve been published (perhaps not an article, perhaps a few paragraphs in a book?}

[Maggette]

Not exactly sure, but I think to recall it wasn't an article but an example in his first book "Porkerface Of Wall Street"?

[gmetric_Flow]

@Maggette is right, Aaron explores this for games in a baseball series in the chapter on risk denial in The Poker Face of Wall Street.

[TonyC]

> "Porkerface Of Wall Street"?



the PORKER face of Wall Street? Is this an oblique reference to my recent 60lb yo-yo dieting? ... Maggette I didn't know you could be so cruel :worship

[Maggette]

I could pretend it was a typo....but I am just an evil bastard Evil Grin