Pitfalls in the Black-Scholes


The Black-Scholes option pricing model is the standard used on every platform. It's limitations as an option pricing model are seldom published. RJ Johnson's presentation will describe these limitations and help traders to know when relying on its information may lead to less success in trading options.

RJ Johnson is Co-founder of Edge-On Technologies, a financial derivatives consulting firm specializing in Statistical Arbitrage Analytics. He has been trading in various markets for over 35 years. After working for 3 years at a wall street firm in fixed income derivatives, he switched to the buy side. By 1988 he was the head trader of a $15 Billion derivatives portfolio and has been involved in the markets in many different capacities ever since.