Friday, March 20, 2015

Is their an eassier Black Scholes?

Sure.  The formula uses Pi, so it is Nyquist and Lucas applies.
The formula assume the safe rate is fixed, so we know we are working around a single Lucas angle. e is known so we know the Lucas angle is 1.5 * ln(Phi).

Hence tanh is the strike price, tanh' is the gain, and 1/2 * tanh'' is the derivative cost, normalized to a unit variance of 1.0. So then one needs to scale.
I think that is right, but check me.

The theory of everything simplifies life a whole bunch.

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