10Black-Scholes模型

10Black-Scholes模�...

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Unformatted text preview: Black-Scholes-Merton Ï ½ d . 5 û ) 7 K ó ä 6 1 ù ? µ U fangns@swufe.edu.cn Ü H ã ² Æ 7 K Æ 2011 c S G Æ Ï Æ S ¦ Ý º Å C þ V g § ) ê Å L § A : § Ý º B L § A : Ú 5 § þ Ú I O ¶ Ý º B L § A 9 Ù¤ £ Ç Ú Ç " Ý º Ito L § A " n ) ¦ d é ê © Ù A 5 " Ý º Black-Scholes © § Ä V g Ú í Black-Scholes ú ª L § § Ý º ú ª 5 § ¿ U $ ^ Tú ª ? 1 ½ d ¶ Ý º º x ¥ 5 ½ d ¦ n Ú { " Æ- J : ê Å L § k ¨ ½ | ' X " B L § Ito L § A § ¤ £ Ç Ú Ç § C þ þ § ± 9 ù A « L § S 3 é X Ú C z " Ito ½ n 9 Ù $ ^ " Black-Scholes § í 9 ½ d ú ª º x ¥ 5 ½ d ¦ n ï Ä g ´ ¦Ï ½ d § 7 L k ) ¦ r ³ " Ï ¦Ï ´ Ù I ] £ = ¦ ¤ û ) ó ä § 3 ® 1 d ! Ï k ¨ Ï ! à º x | Ç Ú I ]  à ¹ e § Ï d C z 5 Ò ´ ¦ d C z § ¦ d ´ K Ï d Ï " Ï d § ï Ä Ï d § Ä k 7 Lï Ä ¦ d C z 5 Æ " 3 ) ¦ d 5 Æ § · Á ãÏ L ¦ 5 E Ï § ¿ ± d â Ï ½ d " ùò ^ ê Æ ó 5 £ ã ù « ½ d g " Å L § X J , C þ ± , « Ø ( ½ ª m C z § K ¡ T C þ Ì , « Å L § (stochastic process) " l Ñ m (discrete time) Å L § (stochastic process) ´ I C þ U 3 , ( ½ m : þ C z L § § I C þ U , l Ñ " ë Y m (continuous time) Å L § ´ I C þ C z ± 3 ? Û u ) L § § I C þ 3 , S ? ¿ " k ¨ ½ | b ` £ FMH ¤ 1965 c § { ç (Fama) J Ñ Í ¶ k ¨ ½ | b ` (efficient market hypothesis) " T b ` @ µ Ý ] ö Ñ å ã | ^ ¼ & E ¼ p § Å ¶ y d é # ½ | & E A ´ × O ( § y d U A Ü & E ¶ ½ | ¿ ¦ y d l þ ï Y ² L Þ , þ ï Y ² § #& E A d C Ä ´ p Õ á " k ¨ ½ | © a f ª k ¨ ½ | b ` @ § y d C Ä { ¤ Ø ¹ ? Û é ý ÿ y d 5 C Ä k^ & E § Ò ´ ` Ø U Ï L E â © Û ¼ L ² þ Â Ã Ç Â Ã " r ª k ¨ ½ | b ` @ § y d ¬ × ! O ( / â ¼ ¤ k ú m & E N § Ï d ± d Ú ¤ ¢ þ E â ¡ & E ± 9 ® ú Ù Ä ¡ & E Ñ Ã Ï u ] À d p ½ $ y " r ª k ¨ ½ | b ` @ § Ø = ´ ® ú Ù & E § ´ U ¼ k ' & E Ñ ® N 3 d ¥ § Ï d ? Û & E ( ) / S4 & E ) é ] À y Ñ v k^ ? " k ¨ ½ | b ` J Ñ § N õ Æ ö$ ^ « ê â é d ? 1 ¢ y © Û " ( J u y § u I [ y ½ | N Î Ü f ª k ¨ ½ | b ` " ê Å L § f . k ¨ ½ | ê Å L § (Markov process) ´ C þ ¨ c 5 ý ÿ k ' § C þ L { ¤ Ú C þ l L y 3 ü C ª K 5 ý ÿØ ' " d ê Å 5 f . ½ | k ¨5...
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10Black-Scholes模�...

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