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Derman and Talebs The Illusions of Dynamic Replication: A Comment. (2006). Ruffino, Doriana ; Treussard, Jonathan.
In: Boston University - Department of Economics - Working Papers Series.
RePEc:bos:wpaper:wp2006-019.

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  1. Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets. (2014). Taleb, Nassim N..
    In: Papers.
    RePEc:arx:papers:1405.2609.

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  2. Option traders use (very) sophisticated heuristics, never the Black-Scholes-Merton formula. (2011). Taleb, Nassim Nicholas ; Haug, Espen Gaarder.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:77:y:2011:i:2:p:97-106.

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