Pablo Fernández PricewaterhouseCoopers Professor of Corporate FinanceValuation Methods and Shareholder Value Creation
摘要: This paper provides an alternative derivation of the Black-Scholes call and put option pricing formulas using an integration rather than dierential equations approach. The economic and mathematical structure of these formulas is discussed, and comparative statics are derived....
Canceling terms and bringingeverything to the right-hand side of the equation yields the basicBlack-Scholes stochastic differential equation: 30 In order to derive the exact option-pricingformula, we need to add the boundary conditions that apply to a call option, whichare W(T)=Max [0, ST...
This right should come at a price and it was the achievement of Black and Scholes to give a rational price for this and other options. A key idea in all of this is arbitrage. We assume the reader is familiar with this idea and its mathematical formulation. 1 A conventional derivation ...
Black_Scholes期权定价公式的两种简化推导
2.The derivation ofBlack-Scholes option pricing formulais very complicated,and it needs some advanced mathematical knowledge such as stochastic process,stochastic differential equation.Black-scholes期权定价公式的推导过程相当复杂,需要用到随机过程和求解随机微分方程等较高深的数学工具,本文将在风险中性的假设下给...
= S exp(-qT) N(d1) - X exp(-rT) N(d2) Though this is not the route that Black and Scholes followed in their original derivation, you should now see how risk-neutral pricing is combined with the assumption of normal log share prices to give the lognormal option valuation formula. ...
Get the black-scholes formula 翻译结果2复制译文编辑译文朗读译文返回顶部 are Black - Scholes formula; 翻译结果3复制译文编辑译文朗读译文返回顶部 Get Black-Scholes formula 翻译结果4复制译文编辑译文朗读译文返回顶部 Get Black - Scholes formula 翻译结果5复制译文编辑译文朗读译文返回顶部 ...
The Black-Scholes equation is given by: ∂V∂t+12σ2S2∂2V∂S2+rS∂V∂S−rV=0 where V is the option price, S is the stock price, σ is the volatility, r is the risk-free interest rate, and t is time. In the following sections, this project explores the derivation ...
The Black-Scholes equation is given by: ∂V∂t+12σ2S2∂2V∂S2+rS∂V∂S−rV=0 where V is the option price, S is the stock price, σ is the volatility, r is the risk-free interest rate, and t is time. In the following sections, this project explores the derivation ...