This is the fact that should make sympathetic readers of Taleb pause: we have had at least two major global crises in recent years – the financial crisis in 2007-08 and the European banking crisis in 2011 – and yet the payoff to option buyers from those events has not even covered the carrying costs of the strategy in the last several years, much less the costs incurred from buying anti-fragility (option gamma) during the prior decade. It’s not just that options are not underpriced in light of “black swan” risks: they’re dramatically overpriced.
via Why Taleb is Wrong About Markets and Uncertainty | Condor Options.
@EpicureanDeal Excellent work. Highly recommended. RT @CondorOptions: Why Taleb is wrong about markets and uncertainty.
http://condoroptions.com/2012/11/26/why-taleb-is-wrong-about-markets-and-uncertainty/@ModernistAlpha sorry,but this critique of Taleb’s prescriptive ideas is a straw man.Taleb opposes blind faith,not measurement
@nntaleb What I say is HERE and HERE ONLY. http://www.fooledbyrandomness.com/Ilmanen.pdf