Black-Scholes formula - Vernimmen.com :
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Around the formula... In a now famous article, Fisher Black and Myron Scholes (1972) presented a model for pricing European-style options that is now very ... Black-Scholesformula Aroundtheformula... Inanowfamousarticle,FisherBlackandMyronScholes(1972)presentedamodelforpricingEuropean-styleoptionsthatisnowverywidelyused .Foracalloption,theBlack&Scholesformulaisasfollows: with: where: V=currentpriceoftheunderlyingasset N(d)isacumulativestandardnormaldistribution(average0,standarddeviation1) K=option'sstrikeprice e=exponentialfunction=2,71828 rF=continualannualrisk-freerate s=instantaneousstandarddeviationofthereturnontheunderlyingasset t=timeremaininguntilmaturity(inyears) andln=Naperianlogarithm
延伸文章資訊
- 1Black–Scholes model - Wikipedia
Black–Scholes formula
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Black-Scholes Inputs ... σ = volatility (% p.a.). r = continuously compounded risk-free interest ...
- 3Black-Scholes formula - Vernimmen.com :
Around the formula... In a now famous article, Fisher Black and Myron Scholes (1972) presented a ...
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The Black-Scholes call option formula is calculated by multiplying the stock price by the cumulat...
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這次要跟大家介紹衍生商品市場的Black-Scholes Model (B-S model)，此Formula 是由Professor Fisher Black, Myron Scholes 與...
