Publications
Black-Scholes 50 Years Later
Abstract
Slightly over fifty years ago, the Black–Scholes option pricing model revolutionized investing by enabling a shift from linear to non-linear payoff structures. Myron Scholes later published two papers documenting the performance of passive option strategies that outperformed the underlying index on a risk–return basis. The options market has evolved considerably over the last fifty years from an open outcry trading structure with options being single-listed to a high-frequency computer-based market. This paper re-evaluates the trilogy of foundational studies to determine whether passive-option-enhanced portfolios still produce superior performance in the current high-frequency options market environment.
“No Bamboozlement Here” I recently saw that line at the start of another legal disclaimer. It caught my attention and hope it captured yours as well. Disclaimers boil down to the following statement – if you choose to believe any of this, then you are on your own. Jeepers! Given the ramifications, I too must disclaim liability for errors, omissions, and offer no warranties. I encourage you to verify my information, point out and forgive any errors. I am human and prone to mistakes, though I always strive for honesty.
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