Browse

In 1960's professor Thorp found a way how to make extraordinary profits by investing in warrants. These investment instrument were generally unknown by then. Nowadays warrants are traded at significant volumes on the majority of stock exchanges all over the world. The pricing of warrants is usually based on the Black-Scholes formula designed for european call options which was presented in 1973 by Black, Scholes and Merton. Before the Black-Scholes formula was presented to the world, Thorp devoted several years to...