Black-Scholes模型可以说是最经典的用来做期权定价和对冲的数学模型,它由Black和Scholes首先提出,用来定价欧式期权(European option),后经Merton修改,使其在有股息(dividend)的情况下也可使用。此模型假设期权的基础股票(underlying stock)遵循几何布朗运动(geometric Brownian motion),并依此给出期权的唯一价格。此外,它还...
1 Black-Scholes偏微分方程和Black-Scholes公式 2 风险中性定价 Black-Scholes模型可以说是最经典的用来做期权定价和对冲的数学模型,它由Black和Scholes首先提出,用来定价欧式期权,后经Merton修改,使其在有股息的情况下也可使用。此模型假设期权的基础股票遵循几何布朗运动,并依此给出期权的唯一价格。此外,它还被用于推...
We assume the option priceWe investigate qualitative and quantitative behavior of a solution to the problem of pricing American style of perpetual put options. We assume the option price is a solution to a stationary generalized Black-Scholes equation in which the volatility may depend on the ...
完备市场(complete market)的含义是市场上任何风险因子都可以通过合适的可交易资产的头寸进行对冲，从而在...
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(European put option)的定价公式. 同年, Robert C. Merton 完善了Black 和 ...
The Black-Scholes equation requires six variables:volatility, the price of the underlying asset, thestrike priceof the option, the time until the expiration of the option, the risk-free interest rate, and the type of option, whether it's call or put. It's theoretically possible for options...
There exist a possibility for a risky bondbuyer to reduce his credit risk. This can be achieved by buying a protection from a protectionseller. The bondholder would pay a fixed premium up to maturity or default, which one comesfirst. In exchange if default comes before maturity the protection...
(S,T) formula, or recalculate the Black-Scholes model through theput-call parity. Using the put-call parity approach to calculate put option value given that you know the call option value, you would solve the put-call parity equation for the value of the put option. See the following ...
必应词典,为您提供Black-Scholes-Equation的释义,用法,发音,音标,搭配,同义词,反义词和例句等在线英语服务。
Black-Scholes Equation Call Option = Where: Given Put Call Parity: The price of a put option must therefore be: Black-Scholes Excel Black Scholes Excel [Enlarge] Black-Scholes VBA Function dOne(UnderlyingPrice, ExercisePrice, Time, Interest, Volatility, Dividend) dOne = (Log(UnderlyingPrice /...