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
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- 1[衍生商品] 淺談Black-Scholes Model 的性質(0) - 謝宗翰的隨筆
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...
- 2What is Black-scholes Model? Definition of Black-scholes ...
Definition: Black-Scholes is a pricing model used to determine the fair price or theoretical valu...
- 3Black-Scholes formula - Vernimmen.com :
Around the formula... In a now famous article, Fisher Black and Myron Scholes (1972) presented a ...
- 4Black–Scholes model - Wikipedia
Black–Scholes formula
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Black-Scholes Inputs ... σ = volatility (% p.a.). r = continuously compounded risk-free interest ...
