The Black Scholes Options pricing model, which uses a Gaussian distribution as its fundamental base, fails to properly account for the likelihood of extreme events. Power laws, network effects, and emergent systems have an enormous influence on real-world results. Complexity science more accurately predicts the possibility of unlikely events.
Complexity Capital Management is a privately managed investment firm focused on finding inefficiently discounted derivatives prices. In addition to inefficient pricing opportunities, the Complexity Capital Management also employs time-decay and volatility strategies.