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Ed Thorp and the Black-Scholes Model

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Black-Scholes The following is part of an answer Edward Thorp gave in a recent interview with the Journal of Investment Consulting: "... in 1969 I had this options formula, this tool that nobody else had, and I felt an obligation to the [investors in my hedge fund] to basically be quiet about it. The tool was just an internal formula that was known to me and a few other people that I employed. Time passed, and Black and Scholes (1973) published this formula. I remember getting a pre-publication copy in the mail with a letter from Fisher Black saying that he and Scholes were admirers of my work and that they had taken the delta hedging idea of my book Beat the Market (1969) one step further by assuming there was no arbitrage and that this paper presented what they came up with. I thought that this formula had to be the same as what I was running on my computers then, so I plugged it in and drew a graph. However, the graph didn't agree with the graph that I had drawn from

--> --> --> Black-Scholes --> --> --> --> --> --> --> --> --> --> Black-Scholes The following is part of an answer Edward Thorp gave in a recent interview with the Journal of Investment Consulting : "... in 1969 I had this options formula, this tool that nobody else had, and I felt an obligation to the [investors in my hedge fund] to basically be quiet about it. The tool was just an internal formula that was known to me and a few other people that I employed. Time passed, and Black and Scholes (1973) published this formula. I remember getting a pre-publication copy in the mail with a letter fr

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