A Matter of Liquidity: Why the Black-Scholes Model Overvalues Conversion Options —Pluris Reviewed by Momizat on . Why The Black-Scholes Model Overvalues Conversion Options. The Black-Scholes method was the predominant model for many years, and was even endorsed by accountin Why The Black-Scholes Model Overvalues Conversion Options. The Black-Scholes method was the predominant model for many years, and was even endorsed by accountin Rating: 0
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A Matter of Liquidity: Why the Black-Scholes Model Overvalues Conversion Options —Pluris

Why The Black-Scholes Model Overvalues Conversion Options.

The Black-Scholes method was the predominant model for many years, and was even endorsed by accounting rules prior to the introduction of FAS 157, even though it was never intended to be used for valuing complex securities or illiquid assets. Some have substituted lattice models or Monte Carlo simulation, making modifications or adjustment to attempt to compensate for illiquidity.

http://quickreadbuzz.com/wp-content/uploads/2012/06/Pluris_White_Paper_-_A_Matter_of_Liquidity1.pdf

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