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xxxtentachyon | 3 years ago

Black-Scholes uses the heat equation, is that what you’re thinking of?

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xhkkffbf|3 years ago

No. It was another bit of social science. I have other problems with Black-Scholes, but they're not as strong. One friend told me that for all of the problems, it offered a relatively neutral way to arb between different strike prices of the same security.