Black-Scholes-Merton期权定价模型（Black-Scholes-Merton Option Pricing Model），即布莱克—斯克尔斯期权定价模型。B-S-M定价公式 C=S·N(d1)-X·exp(-r·T)·N(d2)其中:d1=[ln(S/X)+(r+σ^2/2)T]/(σ√T)d2=d1-σ·√T C—期权初始合理价格 X—期权执行价格 S—所交易金融资...
The Black-Scholes model, also known as the Black-Scholes-Merton model, is a mathematical model used to price options contracts. The formula was created by Fisher Black and Myron Scholes, with contributions from Robert Merton. The options pricing model considers the current stock price, the opti...
Black-Scholes-Merton（BSM）模型是一种金融数学模型，用于计算欧式期权的理论价格。它由费舍尔·布莱克（Fischer Black）、米伦·舒尔茨（Myron Scholes）和罗伯特·默顿（Robert Merton）在1973年共同提出，因此也被称为BSM期权定价模型。BSM模型基于以下假设：市场是完全有效的，即不存在套利机会；股票价格的...
The Black-Scholes model, also known as the Black-Scholes-Merton (BSM), was the first widely used model for option pricing. The equation calculates the price of a European-style call option based on known variables like the current price, maturity date, and strike price based on certain assum...
但是Black 和 Scholes 的这种研究定价问题的思想给后人挖了很大的一个坑，这才是它伟大的地方。只要一...
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...
27期权、期货及其他衍生产品The Black-Scholes-Merton Model-2 - BSM 選擇權評價公式與波動度指數 (VIX) ( 01:43:54 28期权、期货及其他衍生产品Employee Stock Options - 員工股票選擇權 (recorded on 20221004)-_Mve 01:11:08 29期权、期货及其他衍生产品Options on Stock Indices and Currencies - 指數...
摘要 系统介绍 1 997年度Nobel经济学奖获得者Merton和Scholes的学术贡献 ,即Black Scholes期权定价公式 ,包括Black&Scholes(1 973)原始论文、五种推导Black Sc...展开更多 This paper systematically introduces the Black Scholes Option Pricing Formula——the brilliant contribution of R C Merton and M S Scholes...
Using the Black-Scholes model, the price of a call option is calculated using the following formula: Where: C is the price of the call option S is the price of the underlying stock X is the option exercise price r is the risk-free interest rate T is the current time until expiration ...
十几年前上大学期间,因为机缘巧合结识了期权,对期权的定价无疑充满了金融学和数学的集体智慧,初学时囿于知识所限,只知定价公式,无法从头开始进行推导,后来学习了《Stochastic Calculus for Finance》,对其大致过程有了初步了解,书中对期权定价公式导出的基本思路是基于无风险套利原则在货币市场和股票市场进行复制对冲未来...