ソープとブラック - Men for All Markets
Back in 1967, I had taken a further step in figuring out how much a warrant was worth. Using plausible and intuitive reasoning, I supposed that both the unknown growth rate and the discount factor in the existing warrant valuation formula could be replaced by the so-called riskless interest rate, namely that which was paid by a US Treasury bill maturing at the warrant expiration date. This converted an unusable formula with unknown quantities into a simple practical trading tool. I began using it for my own account and for my investors in 1967. It performed spectacularly. In 1969, unknown to me, Fischer Black and Myron Scholes, motivated in part by Beat the Market*1, rigorously proved the identical formula*2, publishing it in 1972 and 1973.
A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market
- 作者: Edward O. Thorp,Nassim Nicholas Taleb
- 出版社/メーカー: Random House
- 発売日: 2017/01/24
- メディア: ハードカバー
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In May 1974 I had dinner with Fischer Black in Chicago, where he had invited me to give a talk at the semiannual CRSP (Center for Research in Security Prices) meeting at the University of Chicago. Then in his thirties, Fischer was trim and tall, with combed-back black hair and "serious" glasses. Focusing intently on whatever finance topic was being discussed, he spoke articulately, logically, and concisely. His notes, compact and ultra-legible, reflected this. He would go on to become one of the most innovative and influential figures in academic and applied finance.
