布莱克-舒尔斯模型(英语:Black-Scholes Model),简称BS模型,是一种为金融衍生工具中的期权定价的数学模型,由美国经济学家迈伦·舒尔斯与费希尔·布莱克首先提出。此模型适用于没有派发股利的欧式期权。罗伯特·C·墨顿其后修改了数学模型,使其于有派发股利时亦可使用,新模型被称为布莱克-舒尔斯-墨顿模型(英语:Black–...
[Call,Put] = blsprice(Price,Strike,Rate,Time,Volatility)computes European put and call option prices using a Black-Scholes model. Note Any input argument can be a scalar, vector, or matrix. If a scalar, then that value is used to price all options. If more than one input is a vector...
However, American call options with no dividends are often priced as European options, with the standard Black-Scholes model. This is because early exercise offers no benefits to the option holder.然而,没有股息的美国看涨期权通常被定价为欧洲期权,采用标准的Black-Scholes模型。这是因为提前行使对期权持...
Black‐Scholes ModelvariablesstockSummary Options constitute one of the most important classes of derivative securities, and it is currently recognized that many real-life problems have option-like characteristics. This chapter indicates that options can be created on almost any asset, and at present,...
The Black-Scholes-Merton model can be described as a second order partial differential equation. The equation describes the price of stock options over time. Pricing a Call Option The price of a call option C is given by the following formula: ...
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 ...
黑-肖尔斯模型(Black-Scholes Model)是期权定价理论的重要组成部分,由费雪·布莱克(Fisher Black)和迈伦·肖尔斯(Myron Scholes)于1973年提出。这一模型为欧式期权(只能在到期日行权的期权)的定价提供了一个解析公式。 黑-肖尔斯模型的基本公式如下: C = S * N(d1) – X * e^(-rT) * N(d2) ...
The Black-Scholes model is also known as the Black-Scholes-Merton or BSM model. It's a differential equation that's widely used to price options contracts. The Black-Scholes model requires five input variables: the strike price of an option, the current stock price, the time to expiration,...
Black-Scholes Model Black-Scholes option pricing model (also called Black-Scholes-Merton Model) values a European-style call or put option based on the current price of the underlying (asset), the option’s exercise price, the underlying’s volatility, the option’s time to expiration and the...
Option Parameters Call Option Put Option Underlying Price: $ Theoretical Price: Exercise Price: $ Delta: Days Expiration: day Gamma: Interest Rates: % Vega: Volatility: % Theta: Rounding: Rho: What is Black–Scholes?The Black–Scholes model is a mathematical model of a financial market...