On: The Black-Scholes/Merton equation [video]

[mhh__]

Taleb and Derman have argued that put call parity implies BS but other disagree quite strongly.

[JumpCrisscross → mhh__]

> Taleb and Derman have argued that put call parity implies BS but other disagree quite strongly

I mean sure. They're related. Same way the Michelson-Morley experiment implied special relativity. That doesn't detract from Einstein specifying just how. (Derman is legit but Taleb is a hack.)

[lupire → mhh__]

Under reasonable assumptions, put call parity is true so it's not an important statement to say that it implies BS.

[mhh__ → lupire]

You still need additional assumptions about the delta hedged PnL, no?