196 citations · 544 across the 24 of their papers we have counts for
Showing 2019Show all
3 papers · 1 filter
stat.ME2019★ 3 cited
Branching epistemic uncertainty and thickness of tails
Nassim Nicholas Taleb, Pasquale Cirillo
This is an epistemological approach to errors in both inference and risk management, leading to necessary structural properties for the probability distribution. Many mechanisms ha…
q-fin.PR2019
Tail Option Pricing Under Power Laws
Nassim Nicholas Taleb, Brandon Yarckin, Chitpuneet Mann +2
We build a methodology that takes a given option price in the tails with strike and extends (for calls, all strikes > , for puts all strikes ) assuming the continuation…
q-fin.GN2019★ 18 cited
On the Statistical Differences between Binary Forecasts and Real World Payoffs
Nassim Nicholas Taleb
What do binary (or probabilistic) forecasting abilities have to do with overall performance? We map the difference between (univariate) binary predictions, bets and "beliefs" (expr…