本节课向大家展示通过Excel以及Black Scholes Model (布莱克-斯科尔科-莫顿期权定价模型)来用真实市场数据定价上证50ETF期权,希望大家喜欢。 课程主要内容: 1.前言 2.BS模型背景 3.一个简单的BS定价案例 4. 定价上证50ETF看涨期权 5.二叉树模型 VS BS模型 6. 上证50ETF历史波动率计算...
金融建模 18 | 如何用Excel计算上证50ETF期权价格 | Financial Modeling 18 SH50ETF Option Pricing 1.1万 1 35:34 App 金融建模 40 | 通过Python计算VaR(蒙特卡洛模拟法)| Financial Modeling 40 Calculate VaR 1.9万 5 45:43 App 金融建模 33 | 如何通过蒙特卡洛模拟计算期权价格 Financial Modeling 33 Option ...
金融建模 15 | 期权:通过Excel进行二叉树期权定价(3)——用Excel VBA计算欧式期权 1514 -- 1:13:00 App 金融建模 42 | 详解Merton及Moody KMV违约概率模型 | Financial Modeling 42 Merton KMV Model 1.4万 9 24:36 App 金融建模 13 | 期权:通过Excel进行二叉树期权定价(1)—— 一期二叉树期权定价 6458...
曲面（volmodel）的各种细节才是option pricing里的大头，一般来说曲面类型有IV，LV和其他特殊参数曲面，...
In addition, we are going to present how an Excel program can be used to estimate American Options. Section 26.2 presents an option pricing model for Individual Stocks, Sect. 26.3 presents an option pricing model for Stock Indices, Sect. 26.4 presents option pricing model for Currencies, Sect....
Numerix更像是library，或者一个excel add in，用起来方便，灵活性也很高。（今年的Quant of Year就是...
TheBinomialOptionPricingModelisessentiallyatreethatisconstructedtoshowpossiblevaluesthatanunderlyingassetcantakeandtheresultingvalueoftheoptionatthesevalues.One Simplifying Assumption TheBinomialOptionPricingModelmakesanassumptionthatoveracertaintimeperiod,theunderlyingcanonlydooneoftwothings:goup,orgodown.Up and down...
Option pricing modelAmerican optionEx-dividendEarly exerciseThe main purpose of this chapter is to present the American option pricing model on stock with dividend payment and without dividend payment. A Microsoft Excel program for evaluating this American option pricing model is also presented....
金融建模 17 | 期权: 用Excel计算“员工认股权”价格 | Financial Modeling 17 Employee Stock Option 33:32 金融建模 18 | 如何用Excel计算上证50ETF期权价格 | Financial Modeling 18 SH50ETF Option Pricing 38:47 金融建模 19 | 如何用Excel计算上证50ETF期权隐含波动率 | Financial Modeling 19 Implied Volatil...
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