realized that I could use a computer and my undisclosed “integral method” for valuing options to get numerical results to any desired degree of accuracy for this as-yet-unsolved “American put problem.” In a productive hour in the fall of 1973 I outlined the solution, from which my staff programmed a computer to produce precise calculated values. My integral method also had another advantage over the Black-Scholes approach. Whereas the latter was based on one specific model for stock prices, one with limited accuracy, my technique could value options for a wide range of assumed distributions of
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