## Gosper's Algorithm Meets Wall Street Formulas 124

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by
Unknown Lamer

from the hypergeometric-overlords dept.

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."*
## European not American option pricing (Score:3, Informative)

It seems, after reading through the paper (to the extent my non-MIT mind understood things) that this is based upon a pricing model of European options [slashdot.org]. European options can only be exercise on the expiry date, American options can be exercised any time before that date.

## Re:Hurh? (Score:4, Informative)

I'm an analyst for a large financial firm, and this is actually old news for us soul-sellers. There is no good options pricing model; they all have problems.

These articles should help clear things up:

http://en.wikipedia.org/wiki/Binomial_options_pricing_model [wikipedia.org]

http://en.wikipedia.org/wiki/Black-Scholes [wikipedia.org]

http://en.wikipedia.org/wiki/Monte_Carlo_option_model [wikipedia.org]

## Re:Hurh? (Score:5, Informative)

To the Wikipedia-mobile, Geek Wonder!

## The actual Deal, If anyone cares (Score:4, Informative)