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The Skinny On Options Math - July 2, 2025 - Modeling Price Jumps
MP4•Episode home
Manage episode 492151410 series 68544
Content provided by tastylive. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by tastylive or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://ppacc.player.fm/legal.
In this episode, Tom Sosnoff and Jacob discuss refining financial models by incorporating Poisson jumps into traditional Brownian motion frameworks. They highlight the limitations of the Black-Scholes model, particularly its assumptions about constant volatility and continuous price movements. By introducing Levy processes, which allow for discontinuities, they explore how this modeling approach can provide better insights into market behaviors. The conversation emphasizes the importance of using realistic models in trading while accepting the inherent flaws in any financial model.
…
continue reading
1665 episodes
MP4•Episode home
Manage episode 492151410 series 68544
Content provided by tastylive. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by tastylive or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://ppacc.player.fm/legal.
In this episode, Tom Sosnoff and Jacob discuss refining financial models by incorporating Poisson jumps into traditional Brownian motion frameworks. They highlight the limitations of the Black-Scholes model, particularly its assumptions about constant volatility and continuous price movements. By introducing Levy processes, which allow for discontinuities, they explore how this modeling approach can provide better insights into market behaviors. The conversation emphasizes the importance of using realistic models in trading while accepting the inherent flaws in any financial model.
…
continue reading
1665 episodes
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