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No dividends during the life of the option. This is a serious limitation to the model. Stock dividends are common, and to adjust the model you must discount the underlying for the dividend paid to account for the variance. This unfortunately is a manual adjustment although some attempts have been made to modify the formula for the adjustment. No American exercise. European exercise terms mean that the option can be exercised only on the expiration date. American exercise allows the option to be exercised at any time during the life of the option. This is really signi cant only for deep in-the-money options or options near expiration, because investors in general are not going to exercise and waste the remaining time value in the option. Markets are ef cient. The ef cient market assumption says that it is not possible to consistently predict the direction of the market or individual investment. The model assumes a continuous random motion to the market. No commissions are included. We all have to pay commissions of one amount or another to execute trades. The model does not include commissions in the calculation of pro t and loss or value. Interest rates remain constant and known. The Black-Scholes model uses the risk-free rate. Periods of heavy changes in interest rates can skew the model because it assumes a rate based on the T-bill with 30 days left which may be a bit different from the actual cost of capital during the period of the option. Returns are log normally distributed. This assumption suggests returns on the underlying stock.

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Cancer, the crab, stands high in the southwestern sky. If you stand facing southwest and look up at an elevation about 70 degrees, you ll see a group of stars that resembles an upside-down Y (Fig. 2-10). In ancient mythology, Cancer was the cosmic gate through which souls descended to Earth to occupy human bodies. Next to Cancer is Canis Minor, the little dog, which contains the prominent star Procyon.

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Eqn. (2.20) is the vector transformation between coordinate systems. This relation is valid for any vector quantity. As discussed in detail in [95], it is important to realized that vectors, vector operations, and relations between vectors are invariant relative to any two particular coordinate representations as long as the coordinate systems are related through eqn. (2.20). This is important, as it corresponds to the intuitive notion that the physical properties of a system are invariant no matter how we orient the coordinate system in which our analysis is performed. In the discussion of this section, the two frames have been considered to have no relative motion. Issues related to relative motion will be critically important in navigation systems and are discussed in subsequent sections. Throughout the text, the notation Rb will denote the rotation matrix a transforming vectors from frame a to frame b. Therefore, vb v where Ra = Rb a b .

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