SI
SI
discoversearch

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor.  We ask that you disable ad blocking while on Silicon Investor in the best interests of our community.  If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.
Strategies & Market Trends : Options 201: Beyond Obi-Wan-Kenobe
 Public ReplyPrvt ReplyMark as Last ReadFilePrevious 10Next 10PreviousNext  
To: Dan Duchardt who wrote (784)2/25/2003 9:21:33 AM
From: tyc:>  Read Replies (1) of 1064
 
Thanks Dan. Wonder of wonders, I understand (and agree) with what you say about standard deviation. And it would seem that you agree that my observations about the volatility of stock prices as indicated by BB's, have some value.

Nevertheless, I feel sure I have read somewhere that the BlackScholes model is based on the belief that price changes are distributed log-normally. If that is so, volatility inputs to BS must be a measure of percentage price changes. Is that a valid statement, mathematically and logically ?

Of course, stocks prices do tend to trend, there's no denying it whether Black Scholes recognizes it or not. The problem is to distinguish a trend from the normal vagaries of randomness. I would put more more faith on BS than on trend calculations, myself.

I read an interesting book recently on the hazards of randomness. It sure seemed to confirm my belief that it is important to understand upside and downside risk, and to be sure that for any position they are within your risk tolerances. Otherwise one will be selling and buying at the wrong times. (i.e. buying high, selling low ).

Thank you for your help.
Report TOU ViolationShare This Post
 Public ReplyPrvt ReplyMark as Last ReadFilePrevious 10Next 10PreviousNext  

HomeMailHotSubjectMarksPeopleMarksKeepersSettings
Terms Of UseContact UsCopyright/IP PolicyPrivacy PolicyAbout UsFAQAdvertise on SI
© 2025 Knight Sac Media.  Data provided by Twelve Data, Alpha Vantage, and CityFALCON News