That the distributions of price changes over short time periods had fat tails (high frequencies of extreme events) was known before 1987: Mandelbrot and Fama had made the point vigorously in the 1960s. Furthermore, as discussed in chapter 7, there is a sense in which the options market has "over-learned": the magnitude of the skew is greater than can be accounted for simply by the extent to which the empirical distributions of price changes have fatter tails than the log-normal model underpinning Black-Scholes-Merton.

Donald MacKenzie, An Engine, Not a Camera, loc. 1163