发布于: | 雪球 | 转发:0 | 回复:2 | 喜欢:0 |
I was short selling at that point, and now I regret that I didn't buy put instead. haha
yeah. Black swan for put writters. I asked a friend of mine doing MFE, and she told me that the BS model is fundamentally problematic for pricing American options because it assumes a exponentially continuously distributed dividend.