Black-Scholes Formula for European Call and PutWolfgang Hormann
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...
期权的估值 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...
There is no q in the formula for d1 Therefore, if dividend yield is zero, then e-qt = 1 and the models are identical. Black-Scholes Greeks Formulas Below you can find formulas for the most commonly used option Greeks. Some of the Greeks (gamma and vega) are the same for calls and...
本人非数学专业，所以对于微分方程 (也就是最常见的B-S公式的证明法）认为不是便于大众理解，所以，此...
The Black-Scholes FormulaChris Barnett∗Department of MathematicsImperial CollegeLondon SW7 2AZc.barnett@imperial.ac.ukSeptember 3, 20..
同样的put option的价格: 例子: 5. Power Option 我们现在讲到期日T的power option,power option实际上是欧式期权中的一种,他的payoff如下 然后我们一般都是从risk-neutral valuation formula开始试图对option进行定价(numerate= B_t),那么power call和put的定价公式如下(price of a power call=discount expected pa...
The Black-Scholes formulas for call option (C) and put option (P) prices are: The two formulas are very similar. There are four terms in each formula. I will again calculate them in separate cells first and then combine them in the final call and put formulas. ...
The LME Black76 formula for calls is: c = e -r(T+2/52) [FN(d1) - XN(d2)] and for puts: p = e -r(T+2/52) [XN(- d2) - FN(- d1)] where N (.) stands for the cumulative normal distribution, T is the time to the option expiry, r is the continuously compounded in...
简而言之，BS Formula只是用来计算implied vol的，是个报价公式。（随手一黑，很多期权交易员其实并不能...