本文主要讲解金工金数公式里最常见的 Black-Scholes Formula 的推导方法. 在 Fischer Black 和 Myron Scholes 1973年发表的文章中, 提出了一种数学模型来描述金融衍生品价格(比如期权)的演变 (后来称为Black-Scholes Partial Differential Equation), 并给出了相应欧式看涨期权(European call option) 和看跌期权(Europe...
布莱克-斯科尔斯期权定价公式(Black-Scholes formula)在财经界已经被奉为圭臬。我们在编制财务报表时,需要使用它对股票卖空期权进行估值。计算的关键变量包括合约的到期日和行权价格,以及分析师的波动预期、利率变化和分红情况。 然而,如果将这个公式运用至长期的时间段,它可能会产生荒谬的结论。平心而论,布莱克和斯科尔斯...
(2007). A delayed Black and Scholes formula. Stochastic Analysis and Applications, 25(2):471-492.M. Arriojas, Y. Hu, S.-E. Mohammed, and G. Pap. A delayed Black and Scholes formula. Stoch. Anal. Appl., 25(2):471-492, 2007....
Black-Scholes方程确实只能用于求解欧式期权定价，但是，美式期权定价是可以基于Black-Scholes模型。这就意味...
Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula No abstract is available for this item. JL Prigent - 《Papers》 被引量: 14发表: 1995年 Robustness of the Black-Scholes approach in the case of options on several assets ...
定价策略：Black-Scholes option pricing formula Lecture#9:BlackScholesoptionpricing formula •BrownianMotion Thefirstformalmathematicalmodeloffinancialassetprices,developedbyBachelier(1900),wasthecontinuous-timerandomwalk,orBrownianmotion.Thiscontinuous-timeprocessiscloselyrelatedtothediscrete-timeversionsoftherandom...
一般来说，现在的钱比未来的值钱。所以，如果你现在有1000块钱，在一年以后，你这些钱至少值你将这些钱...
Athanassakos, G. 1996. 'On the Application of the Black and Scholes Formula to Valuing Bonds with Embedded Options: The Case of Extendible Bonds', Applied Financial Economics, 6, pp. 37-48.Athanassakos, G. (1996). "On the application of the Black and Scholes formula to valuing bonds ...
It is assumed that the reader is familiar with the idea of an admissible self-financing portfolio, the definition of a European call option and elementary stochastic calculus. Each of the sections that follow arrive at the Black - Scholes formula in different ways. No doubt we could ...
The long history of the theory of option pricing began in 1900 when the French mathematician Louis Bachelier deduced an option pricing formula based on the... RC Merton - 《Bell Journal of Economics & Management Science》 被引量: 1.7万发表: 1973年 Theory of Rational Option Pricing: II (Revi...