金融数学笔记- 28 - 第一讲 Black-Sholes公式的离散形式证明 一、Black-Sholes的期权定价公式 看张期权的定价公式: 看跌期权的定价公式: 其中 为标的物的价格且 , 为到期时的股票价格; 为无风险利率;k为敲定价格。 二、证明 (1) 两个基本假设:股票市场有波动,不存在风险套利 (a) 分为N等份,每一段时间为 (b)假设初始财富为1,每一期的期末有两种可能:以p的概率变为1+b;以1-p的概率变为1+a。每一个等份内的利率为 , (2)易知 。 (3)构造离...
协议 离婚协议模板下载合伙人协议 下载渠道分销协议免费下载敬业协议下载授课协议下载 价K=1.5。假设 遵循布朗运动,其波动率为 =10%,求英镑欧式看涨期权价格。 解: 其中 EMBED Equation.DSMT4 ; 2、 提前执行无收益资产美式看涨期权是不明智的 证:假设两资产A、B,其中A为有固定收益的看涨期权资产,B为无收益固定资产。 在不提前执行时: 资产A: 资产B: EMBED Equation.DSMT4 , 此种情况下不提前执行时看涨期权收益会高于一般资产。 但在时刻 提前执行时: 资产A: 资产B: 因为 <0,所以 EMBED Equation.DSMT4 > 因此看涨期权提前执行是不明智的。 但是看跌期权提前执行则是可以的(在此不予以证明)。 � EMBED Equation.DSMT4 ��� � EMBED Equation.DSMT4 ��� B A r=1 r=-1 r=0 Rf M m Rf M2 M1 0 Rf σm σ p 1-p ………………………… (1+b)n (1+b)n (1+b)n-k(1+a)k (1+b)n-1(1+a) 1 (1+a) (1+b) (1+a)2 (1+b)(1+a) (1+b)2 p p 1-p 1-p _1162050097.unknown _1162055146.unknown _1162291024.unknown _1162294335.unknown _1162362865.unknown _1162375589.unknown _1162375712.unknown _1162375759.unknown _1162375832.unknown _1162376166.unknown _1162376609.unknown _1162375845.unknown _1162375770.unknown _1162375736.unknown _1162375749.unknown _1162375724.unknown _1162375648.unknown _1162375691.unknown _1162375702.unknown _1162375651.unknown _1162375616.unknown _1162375631.unknown _1162375599.unknown _1162375527.unknown _1162375553.unknown _1162375565.unknown _1162375540.unknown _1162375499.unknown _1162375513.unknown _1162362926.unknown _1162320839.unknown _1162320988.unknown _1162362715.unknown _1162362859.unknown _1162362863.unknown _1162362749.unknown _1162321191.unknown _1162362263.unknown _1162362356.unknown _1162362370.unknown _1162362335.unknown _1162321361.unknown _1162362103.unknown _1162321008.unknown _1162320910.unknown _1162320952.unknown _1162320976.unknown _1162320921.unknown _1162320883.unknown _1162320899.unknown _1162320855.unknown _1162295793.unknown _1162300190.unknown _1162320811.unknown _1162300175.unknown _1162294832.unknown _1162295437.unknown _1162294680.unknown _1162292142.unknown _1162292799.unknown _1162293539.unknown _1162294313.unknown _1162293156.unknown _1162292432.unknown _1162292578.unknown _1162292390.unknown _1162291920.unknown _1162292023.unknown _1162292119.unknown _1162291994.unknown _1162291628.unknown _1162291663.unknown _1162291433.unknown _1162287475.unknown _1162288687.unknown _1162289857.unknown _1162290515.unknown _1162290856.unknown _1162290193.unknown _1162289153.unknown _1162289712.unknown _1162289077.unknown _1162287700.unknown _1162288453.unknown _1162288576.unknown _1162287830.unknown _1162287604.unknown _1162287661.unknown _1162287571.unknown _1162213326.unknown _1162214389.unknown _1162216788.unknown _1162287376.unknown _1162287464.unknown _1162217213.unknown _1162287322.unknown _1162217000.unknown _1162217212.unknown _1162215611.unknown _1162216178.unknown _1162216328.unknown _1162216329.unknown _1162216212.unknown _1162216326.unknown _1162215939.unknown _1162215955.unknown _1162216150.unknown _1162215885.unknown _1162214441.unknown _1162215410.unknown _1162214420.unknown _1162213573.unknown _1162214354.unknown _1162214377.unknown _1162214335.unknown _1162213527.unknown _1162213552.unknown _1162213531.unknown _1162213442.unknown _1162213460.unknown _1162213350.unknown _1162211736.unknown _1162212348.unknown _1162212897.unknown _1162212992.unknown _1162213079.unknown _1162213210.unknown _1162212931.unknown _1162212565.unknown _1162212726.unknown _1162212479.unknown _1162212418.unknown _1162212026.unknown _1162212049.unknown _1162211903.unknown _1162154124.unknown _1162211473.unknown _1162211715.unknown _1162211414.unknown _1162153692.unknown _1162153716.unknown _1162153269.unknown _1162054816.unknown _1162054890.unknown _1162054960.unknown _1162054994.unknown _1162055029.unknown _1162055047.unknown _1162055055.unknown _1162055143.unknown _1162055144.unknown _1162055068.unknown _1162055073.unknown _1162055051.unknown _1162055038.unknown _1162055042.unknown _1162055034.unknown _1162055012.unknown _1162055021.unknown _1162055025.unknown _1162055016.unknown _1162055003.unknown _1162055008.unknown _1162054999.unknown _1162054977.unknown _1162054986.unknown _1162054990.unknown _1162054981.unknown _1162054968.unknown _1162054973.unknown _1162054964.unknown _1162054925.unknown _1162054942.unknown _1162054951.unknown _1162054955.unknown _1162054947.unknown _1162054934.unknown _1162054938.unknown _1162054929.unknown _1162054907.unknown _1162054916.unknown _1162054920.unknown _1162054912.unknown _1162054899.unknown _1162054903.unknown _1162054894.unknown _1162054851.unknown _1162054869.unknown _1162054882.unknown _1162054886.unknown _1162054877.unknown _1162054860.unknown _1162054864.unknown _1162054856.unknown _1162054834.unknown _1162054843.unknown _1162054847.unknown _1162054838.unknown _1162054825.unknown _1162054830.unknown _1162054821.unknown _1162054747.unknown _1162054782.unknown _1162054799.unknown _1162054808.unknown _1162054812.unknown _1162054804.unknown _1162054790.unknown _1162054795.unknown _1162054786.unknown _1162054764.unknown _1162054773.unknown _1162054777.unknown _1162054769.unknown _1162054756.unknown _1162054760.unknown _1162054751.unknown _1162050807.unknown _1162050885.unknown _1162054734.unknown _1162054743.unknown _1162054729.unknown _1162050861.unknown _1162050878.unknown _1162050832.unknown _1162050249.unknown _1162050603.unknown _1162050781.unknown _1162050525.unknown _1162050164.unknown _1162050166.unknown _1162050157.unknown _1161794138.unknown _1161799565.unknown _1161844368.unknown _1161865343.unknown _1161866413.unknown _1161867315.unknown _1162048489.unknown _1162048696.unknown _1162048881.unknown _1162049205.unknown _1162049752.unknown _1162049958.unknown _1162049015.unknown _1162048786.unknown _1162048808.unknown _1162048723.unknown _1162048615.unknown _1162048628.unknown _1162048556.unknown _1162048217.unknown _1162048263.unknown _1161867469.unknown _1161866897.unknown _1161867253.unknown _1161867287.unknown _1161867186.unknown _1161866555.unknown _1161866879.unknown _1161866507.unknown _1161865436.unknown _1161866228.unknown _1161866268.unknown _1161865567.unknown _1161865360.unknown _1161865369.unknown _1161865351.unknown _1161853686.unknown _1161856592.unknown _1161856997.unknown _1161862550.unknown _1161863785.unknown _1161865333.unknown _1161865323.unknown _1161863755.unknown _1161857280.unknown _1161857342.unknown _1161857234.unknown _1161856837.unknown _1161856857.unknown _1161856671.unknown _1161855164.unknown _1161856249.unknown _1161856298.unknown _1161856450.unknown _1161856077.unknown _1161856125.unknown _1161856059.unknown _1161854111.unknown _1161844505.unknown _1161846202.unknown _1161853583.unknown _1161846128.unknown _1161844442.unknown _1161844458.unknown _1161843240.unknown _1161844190.unknown _1161844335.unknown _1161843435.unknown _1161843691.unknown _1161844136.unknown _1161843511.unknown _1161843479.unknown _1161843397.unknown _1161800796.unknown _1161843121.unknown _1161843177.unknown _1161843215.unknown _1161801599.unknown _1161801627.unknown _1161843048.unknown _1161801072.unknown _1161800447.unknown _1161796453.unknown _1161798118.unknown _1161799195.unknown _1161799521.unknown _1161799027.unknown _1161799039.unknown _1161799134.unknown _1161799161.unknown _1161799122.unknown _1161798698.unknown _1161798733.unknown _1161798635.unknown _1161796568.unknown _1161797434.unknown _1161797609.unknown _1161797635.unknown _1161797290.unknown _1161796461.unknown _1161794936.unknown _1161796164.unknown _1161796259.unknown _1161796358.unknown _1161796439.unknown _1161796447.unknown _1161796391.unknown _1161796277.unknown _1161796228.unknown _1161796251.unknown _1161796206.unknown _1161795341.unknown _1161795541.unknown _1161795615.unknown _1161795864.unknown _1161795918.unknown _1161795751.unknown _1161795425.unknown _1161795376.unknown _1161795024.unknown _1161795181.unknown _1161794977.unknown _1161794752.unknown _1161794873.unknown _1161794935.unknown _1161794781.unknown _1161794861.unknown _1161794203.unknown _1161794710.unknown _1161291382.unknown _1161453317.unknown _1161493249.unknown _1161493922.unknown _1161494241.unknown _1161494458.unknown _1161494970.unknown _1161495552.unknown _1161495645.unknown _1161495472.unknown _1161494808.unknown _1161494395.unknown _1161494129.unknown _1161494149.unknown _1161494098.unknown _1161493574.unknown _1161493668.unknown _1161493341.unknown _1161453582.unknown _1161453664.unknown _1161453828.unknown _1161453600.unknown _1161453547.unknown _1161453562.unknown _1161453527.unknown _1161323788.unknown _1161452154.unknown _1161453134.unknown _1161453157.unknown _1161453241.unknown _1161453146.unknown _1161453051.unknown _1161453066.unknown _1161453042.unknown _1161451443.unknown _1161451927.unknown _1161452097.unknown _1161451456.unknown _1161451223.unknown _1161451440.unknown _1161324147.unknown _1161451179.unknown _1161323970.unknown _1161293750.unknown _1161293939.unknown _1161294854.unknown _1161295470.unknown _1161323041.unknown _1161323114.unknown _1161295509.unknown _1161295636.unknown _1161295064.unknown _1161295302.unknown _1161294949.unknown _1161294490.unknown _1161294498.unknown _1161294482.unknown _1161293821.unknown _1161293864.unknown _1161293872.unknown _1161293847.unknown _1161293789.unknown _1161293809.unknown _1161293766.unknown _1161292085.unknown _1161292446.unknown _1161293713.unknown _1161292097.unknown _1161291622.unknown _1161291996.unknown _1161291533.unknown _1160743285.unknown _1160771769.unknown _1161092066.unknown _1161279996.unknown _1161280848.unknown _1161282818.unknown _1161286906.unknown _1161287738.unknown _1161288219.unknown _1161288756.unknown _1161289121.unknown _1161289150.unknown _1161289202.unknown _1161288813.unknown _1161288674.unknown _1161288733.unknown _1161288633.unknown _1161288135.unknown _1161288152.unknown _1161287855.unknown _1161287584.unknown _1161287654.unknown _1161287689.unknown _1161287060.unknown _1161287236.unknown _1161287457.unknown _1161286954.unknown _1161282937.unknown _1161283231.unknown _1161283269.unknown _1161283136.unknown _1161282865.unknown _1161282876.unknown _1161282850.unknown _1161282045.unknown _1161282157.unknown _1161282283.unknown _1161282046.unknown _1161281341.unknown _1161281959.unknown _1161282044.unknown _1161280873.unknown _1161280350.unknown _1161280442.unknown _1161280797.unknown _1161280812.unknown _1161280755.unknown _1161280413.unknown _1161280430.unknown _1161280365.unknown _1161280245.unknown _1161280309.unknown _1161280332.unknown _1161280257.unknown _1161280069.unknown _1161280086.unknown _1161280043.unknown _1161278379.unknown _1161279822.unknown _1161279933.unknown _1161279959.unknown _1161279847.unknown _1161278411.unknown _1161278477.unknown _1161279771.unknown _1161278393.unknown _1161277513.unknown _1161278329.unknown _1161278364.unknown _1161278310.unknown _1161277375.unknown _1161277415.unknown _1161277336.unknown _1160821618.unknown _1160857224.unknown _1161090831.unknown _1161091975.unknown _1161092057.unknown _1161091928.unknown _1160857581.unknown _1161090574.unknown _1161090694.unknown _1161090501.unknown _1160857660.unknown _1160857402.unknown _1160857488.unknown _1160857264.unknown _1160855377.unknown _1160856101.unknown _1160856304.unknown _1160855901.unknown _1160855346.unknown _1160855354.unknown _1160855329.unknown _1160819695.unknown _1160820107.unknown _1160820345.unknown _1160820755.unknown _1160820866.unknown _1160820377.unknown _1160820246.unknown _1160819916.unknown _1160820061.unknown _1160819756.unknown _1160819349.unknown _1160819535.unknown _1160819675.unknown _1160819392.unknown _1160819164.unknown _1160819335.unknown _1160819149.unknown _1160770064.unknown _1160770787.unknown _1160771183.unknown _1160771510.unknown _1160771762.unknown _1160771324.unknown _1160770976.unknown _1160771168.unknown _1160770871.unknown _1160770327.unknown _1160770587.unknown _1160770768.unknown _1160770473.unknown _1160770205.unknown _1160770210.unknown _1160770158.unknown _1160769233.unknown _1160769543.unknown _1160769660.unknown _1160769747.unknown _1160769629.unknown _1160769269.unknown _1160769528.unknown _1160769249.unknown _1160743980.unknown _1160768610.unknown _1160769217.unknown _1160768404.unknown _1160743824.unknown _1160743973.unknown _1160743621.unknown _1160740197.unknown _1160740877.unknown _1160741677.unknown _1160742801.unknown _1160742931.unknown _1160742994.unknown _1160742838.unknown _1160741686.unknown _1160742535.unknown _1160741274.unknown _1160741498.unknown _1160741510.unknown _1160741526.unknown _1160741454.unknown _1160740943.unknown _1160741046.unknown _1160740369.unknown _1160740453.unknown _1160740464.unknown _1160740658.unknown _1160740437.unknown _1160740297.unknown _1160740334.unknown _1160740214.unknown _1160724657.unknown _1160725646.unknown _1160740137.unknown _1160740158.unknown _1160737169.unknown _1160725489.unknown _1160725645.unknown _1160724669.unknown _1160723909.unknown _1160723934.unknown _1160724638.unknown _1160723921.unknown _1160723570.unknown _1160723886.unknown _1160723569.unknown _1160723568.unknown