经济学dissertation：期权交易者使用非常复杂的启发式分析

BREAKING THE CHAIN OF TRANSMISSION
now for peoples practitioners should face reality. This explains our concern with the “scientific” notion that practice should fit theory. Option hedging, pricing, and trading is neither philosophy nor mathematics. It is a rich craft with traders learning from traders (or traders copying other traders) and tricks developing under evolution pressures, in a bottom-up manner. It is technë, not ëpistemë. Had it been a science it would not have survived – for the empirical and scientific fitness of the pricing and hedging theories offered are, we will see, at best, defective and unscientific (and, at the worst, the hedging methods create more risks than they reduce). Our approach in this paper is to ferret out historical evidence of technë showing how option traders went about their business in the past.
对于我们来说，从业者，理论应该出现从practice2。这就解释了我们的关注与“科学”的概念，这种做法应符合理论。期权对冲，定价和交易既不是哲学也不是数学。这是一个丰富的工艺与贸易商贸易商（或复制其他贸易商的贸易商）和技巧发展进化压力下学习，在一个自底向上的方式。这是技艺，而不是认识论。如果这是一门科学，就无法生存 - 定价和套期保值理论提供的是经验和科学的健身，我们将会看到，在最好的情况下，有缺陷的和不科学的（在最坏的情况下，对冲的方法创造更多的风险比他们减少）。在本文中我们的做法是深挖历史证据显示期权交易如何去对他们的业务在过去的技艺。

Options, we will show, have been extremely active in the pre-modern finance world. Tricks and heuristicallyderived methodologies in option trading and risk management of derivatives books have been developed over the past century, and used quite effectively by operators. In parallel, many derivations were producedby mathematical researchers. The economics literature,however, did not recognize these contributions, substituting the rediscoveries or subsequent reformulations done by (some) economists. There is evidence of an attribution problem with Black-Scholes- Merton option “formula”, which was developed, used, and adapted in a robust way by a long tradition of researchers and used heuristically by option book runners. Furthermore, in a case of scientific puzzle, the exact formula called “Black-Sholes-Merton” was written down (and used) by Edward Thorp which, paradoxically, while being robust and realistic, has been considered unrigorous. This raises the following: 1) The Black-Scholes-Merton was just a neoclassical finance argument, no more than a thought experiment3, 2) We are not aware of traders using their argument or their version of the formula.
我们将展示前现代金融世界中，一直非常活跃。在过去一个世纪中，期权交易和风险管理的衍生工具书的诀窍方法在已开发相当有效地使用运营商。与此同时，许多派生producedby数学研究。然而，经济学文献中，没有承认这些贡献，代做一些经济学家重新发现或后续的重新配方。有证据的归属问题与布莱克 - 斯科尔斯 - 默顿“公式”选项，开发，使用和适应的研究有着悠久的传统，在稳健的方式，并试探性地使用期权账簿管理人。此外，在科学之谜的情况下，确切的公式被称为“布莱克 - 肖尔斯 - 默顿”写下来（用）由爱德华·索普，矛盾的是，稳健和现实的.

First, something seems to have been lost in translation: Black and Scholes (1973) and Merton (1973) actually never came up with a new option formula, but only an theoretical economic argument built on a new way of “deriving”, rather re-deriving, an already existing –and well known –formula. The argument, we will see, is extremely fragile to assumptions. The foundations of option hedging and pricing were already far more firmly laid down before them. The Black-Scholes-Merton argument, simply, is that an option can be hedged using a certain methodology called “dynamic hedging” and then turned into a risk-free instrument, as the portfolio would no longer be stochastic. Indeed what Black, Scholes and Merton did was “marketing”, finding a way to make a well-known formula palatable to the economics establishment of the time, little else, and in fact distorting its essence.

There are central elements of the real world that can escape them –academic research without feedback from practice (in a practical and applied field) can cause the diversions we witness between laboratory and ecological frameworks. This explains why some many finance academics have had the tendency to make smooth returns, then blow up using their own theories6. We started the other way around, first by years of option trading doing million of hedges and thousands of option trades. This in combination with investigating the forgotten and ignored ancient knowledge in option pricing and trading we will explain some common myths about option pricing and hedging.

Options have a much richer history than shown in the conventional literature. Forward contracts seems to date all the way back to Mesopotamian clay tablets dating all the way back to 1750 B.C. Gelderblom and Jonker (2003) show that Amsterdam grain dealers had used options and forwards already in 1550.

In the late 1800 and the early 1900 there were active option markets in London and New York as well as in Paris and several other European exchanges. Markets it seems, were active and extremely sophisticated option markets in 1870. Kairys and Valerio (1997) discuss the market for equity options in USA in the 1870s, indirectly showing that traders were sophisticated enough to price for tail events8.

One informative extant source, Nelson (1904), speaks volumes: An option trader and arbitrageur, S.A. Nelson published a book “The A B C of Options and Arbitrage” based on his observations around the turn of the twentieth century. According to Nelson (1904) up to 500 messages per hour and typically 2000 to 3000 messages per day were sent between the London and the New York market through the cable companies. Each message was transmitted over the wire system in less than a minute. In a heuristic method that was repeated in Dynamic Hedging by one of the authors (Taleb,1997), Nelson, describe in a theory-free way many rigorously clinical aspects of his arbitrage business: the cost of shipping shares, the cost of insuring shares, interest expenses, the possibilities to switch shares directly between someone being long securities in New York and short in London and in this way saving shipping and insurance costs, as well as many more tricks etc.

http://www.ukthesis.org/dissertation_writing/Ecommerce/
It is clear that option traders are not necessarily interested in probability distribution at expiration time – given that this is abstract, even metaphysical for them. In addition to the put-call parity constrains that according to evidence was fully developed already in 1904, we can hedge away inventory risk in options with other options. One very important implication of this method is that if you hedge options with options then option pricing will be largely demand and supply based15. This in strong contrast to the Black-Scholes- Merton (1973) theory that based on the idealized world of geometric Brownian motion with continuous-time delta hedging then demand and supply for options simply should not affect the price of options. If someone wants to buy more options the market makers can simply manufacture them by dynamic delta hedging that will be a perfect substitute for the option itself. This raises a critical point: option traders do not “estimate” the odds of rare events by pricing out-ofthe- money options. They just respond to supply and demand. The notion of “implied probability distribution” is merely a Dutch-book compatibility type of proposition.