Barclays Interview Question: Discuss the flaws of Black-Sc... | Glassdoor.co.uk

Interview Question

Market Risk Analyst Interview London, England

Discuss the flaws of Black-Scholes.

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black-scholes
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Interview Answer

2 Answers

0

Should have Wiki before

Interview Candidate on 31 Oct 2011
0

The flaws are largely in its assumptions, namely:
1. It assumes lognormal returns
2. It assumes 24/7 trading (i.e., no jumps in prices)
3. It assumes frictionless markets

Anonymous on 12 Sep 2012

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