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Re: MKT:Options "FAT TAILS"



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Eric,

Interesting post. Do you know of any commercial software that uses "pump and
skew" models?

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Obviosly black scholes does not address fat tails, but there are
any number of models widely available that handle them well.  These
models are sometimes known as "pump and skew" models or even
"alpha/beta" models (which is not really correct).