Algotheorist

Comment at Binomial options pricing model

I could find no citation of the paper you referenced regarding a closed-form solution to the BOPM. Such a reference may be worthwhile, but it would be useful to have a working link to the paper so others can provide input. For the time being, I have reverted your comment. In any case, if and when it's added back it should probably go further down into the article rather than being prominently mentioned in the lead paragraph. Ronnotel (talk) 16:32, 2 March 2011 (UTC)

Paper "Binomial Options Pricing Has No Closed-Form Solution" is at http://ssrn.com/abstract=1773170 .

Thanks - for now, I will add this as a general reference to the article so folks with access to ssrn can at least find it. Again, I'm not sure this belongs in the lead but willing to be convinced. Ronnotel (talk) 16:46, 2 March 2011 (UTC)

Closed form solutions are somewhat of a holy grail @ wallstreet and in academia, for that matter the existence or non-existence of such formulas is of grave interest: worthy of inclusion in the lead. Also, the proof of such non existence seems fairly elegant.

Idea of "holy grail" and closed form formulas is nothing extravagant, see another paper making such statement at http://www.iijournals.com/doi/abs/10.3905/jod.2010.17.4.007 inclusion in lead is worth.

Btw - I'm curious whether the cited paper had a faculty advisor. If so, might it have been John C. Cox? Ronnotel (talk) 17:45, 2 March 2011 (UTC)

I would not know. And it does not seem so.

Please don't edit war

Please see the policy against edit warring. If you continue to edit war over the article, it's possible you will be blocked. Instead, I invite you to participate in a discussion on the Talk:Binomial options pricing model talk page. I promise your arguments will be given due consideration. Ronnotel (talk) 17:35, 2 March 2011 (UTC)

Sorry, I did not realize that.

no problem. Trust me, I'm on the same side. My background is algo analytics @ MIT, just like the paper's author (although to a lesser degree, I imagine). If we can improve the article, then let's do so. Ronnotel (talk) 18:36, 2 March 2011 (UTC)

Great! Yes, I am more theoretical algo though. Well, I am not sure what you mean by improving the artice as you have done a great job in maintaining an excellent article here. That said, you guys all went to MIT, a reason more to include the result in the leading paragraph; note the irony here, John Cox is at MIT, so was the creator of Gosper's algorithm the one that is being used in the paper! (famous hacker at MIT, rite ?). I think it's meant to be .....