关于black scholes公式 [推广有奖]

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2009119817 发表于 2013-4-15 10:45:29 |AI写论文

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我想问一下求期权价格时，利用black scholes公式，由于解出的为V（S,t)，为标的资产价格和时间的函数，
那么这个S 和t分别代入什么呢？

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关键词：SCHOLES choles Holes Black chol black

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Chemist_MZ 发表于2楼查看完整内容

say you have an IBM call option whose current price is 100$. The time to maturity is 3 month. So S=100$ t has different notations. T usually denotes the time of expiration of the option 0 or t is used to refer to the current time. In this case, if you take 0 as the coronet time, T=0.25 yr, while if you take t as the current time, T-t=0.25. It is the time to maturity that affect th ...

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Chemist_MZ

发表于 2013-4-15 11:55:39

say you have an IBM call option whose current price is 100$. The time to maturity is 3 month.

So S=100$

t has different notations.

T usually denotes the time of expiration of the option

0 or t is used to refer to the current time. In this case, if you take 0 as the coronet time, T=0.25 yr, while if you take t as the current time, T-t=0.25.

It is the time to maturity that affect the option's price.