資源描述：
《the black-scholes formula - home flathead valley …布萊克-斯科爾斯公式-家居的平頭谷…》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫(kù)。
1、TheBlack-ScholesFormulaByGretchenBrowneAbstract:ThemechanicsanduseofEuropeanputandcalloptionsareexplained.Usingthenoarbitrageassumptionasabasisforunderstanding,thederivationoftheBlack-Scholesformulaforoptionpricingisexplained.Therelationshiptotheheatequationofphysicsisshown.Anexampleisgivenofoptionp
2、ricingusingtheformula.Mostofusarefamiliarwithtraditionalinvestmentssuchasstocks,bondsormutualfunds.Relativelyrecently,anewinvestmentclasshasarisen.Thesenewsecuritiesarepricedaccordingtothevalueofanunderlyingasset.Theunderlyingassetmaybeanyofnumberofthings.Somepossibilitiesincludestocks,bonds,interes
3、trates,andcurrencyvaluesamongmanyothers.Sincethevalueofthecontractdependsuponthevalueoftheunderlyingasset,thecontractisconsideredtoderiveitsvaluefromthatasset.Hence,thesecontractsareoftencalled“derivatives.”ThispapershallfocusonaspecifictypeofderivativeknownasaEuropeanputorcalloption,withtheunderlyi
4、ngsecuritybeingastock.Optionsarecontractsgivingtheholder,orpurchaser,ofthecontract“therighttobuyorsellanunderlyingassetatafixedprice.”(Chriss)Whiletheholderhastherighttobuyorselltheunderlyingasset,heorsheisnotobligatedtodoso.Thefixedpriceatwhichtheassetmaybepurchasedorsoldisknownasthestrikepriceorex
5、erciseprice.Therighttobuytheunderlyingsecurityisknownasholdingacalloption.Therighttoselltheunderlyingsecurityfortheexercisepriceiscalledaputoption.Iftheholderoftheoptionchoosestobuyorselltheunderlyingasset,heissaidto“exercisetheoption.”Europeancalloptionsmayonlybeexercisedonasetdate,knownastheexpira
6、tiondate.Thisdatemayalsobesimplytermed“expiry.”Naturally,havingtherighttobuyorselltheunderlyingassetmeanssomeonemustbesellingtherighttobuyorsellthatasset.Thissellerofanoptionissaidto“writeacall.”Inreturnfordoingso,heorshechargesthebuyeraprice.Thispurchasepriceisknownasthepremium.Whilethepurchaser,or
7、holder,oftheoptionhastherighttobuyorsellatthestrikeprice,thewriteroftheoptionisobligatedtosellatthestrikepriceiftheoptionholderchoosestoexercisehisright.CallPutOptionBuyerTherighttobuythestockatthestr
