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To: Saturn V who wrote (179989)12/22/2004 5:25:48 PM
From: GVTucker  Read Replies (2) | Respond to of 186894
 
1. Using the concept of dynamic hedging from Black-Scholes is very different than using Black-Scholes. And dynamic hedging is a concept arose out of the model, there's nothing in the model that addresses dynamic hedging.

2. Merton Miller was not part of the development of the Black-Scholes model.

3. The main implementer of the strategy for LTCM was John Meriwether. Merton Miller and Myron Scholes were used primarily as name cards to raise money for LTCM.



To: Saturn V who wrote (179989)12/22/2004 5:35:59 PM
From: rkral  Respond to of 186894
 
Deleted. GVTucker has already made the same point ... and better. Ron



To: Saturn V who wrote (179989)12/27/2004 5:30:55 PM
From: willcousa  Read Replies (1) | Respond to of 186894
 
It was not Black-Scholes that got them in trouble it was hubris. Will


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