The Black-Scholes Model was developed by three academics: Fischer Black, Myron Scholes and Robert Merton. It was 28-year old Black who first had the idea in 1969 and in 1973 Fischer and Scholes published the first draft of the now famous paper The Pricing of Options and Corporate Liabilities...
Black-Scholes模型是在1973年由芝加哥大学Black和Scholes提出的，其中涉及到著名的Black-Scholes偏微分方程。
Black–Scholes. Volatility smile, Black model, Binomial options pricing model, Monte Carlo methods for option pricing, Mathematical finance, Heat equation, Real options analysis, Fuzzy Pay-Off Method for Real Option Valuation, Geometric Brownian motion.关键词:...
(F. Black & M. Scholes, The Pricing of Options and Corporate Liabilities) 3 基本假设 无套利 无风险利率为常数,且允许以无风险利率进行借贷 交易连续进行;可交易任何数量的证券——不必整数也 不必正数 无交易费用和税收 标的股票在期权期限内不支付红利; 股票价格模型:漂移率为 波动率为 的几何布朗运动 4...