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Gosper's Algorithm Meets Wall Street Formulas

Posted by Unknown on from the hypergeometric-overlords dept.

peter.hill.1980 writes "Wall Street's money making formulas need to be as explicit as possible for efficiency purposes. An old, existing and famous formula — binomial options pricing formula — has now been scrutinized for theoretical optimality in a forthcoming paper by Evangelos Georgiadis of MIT using Gosper's Algorithm, proving that no general explicit or closed form expression exists for pricing."

1 of 124 comments (clear)

  1. Re:Hurh? by mangu · · Score: 5, Funny

    It's very simple. What part of "We set a lower bound on the complexity of options pricing formulae in the lattice metric by proving that no general explicit or closed form (hypergeometric) expression for pricing vanilla European call and put options exists when employing the binomial lattice approach" you didn't understand?