<p>二楼正解。回三楼:BSM模型算的是option的market price。</p><p>请看Don Chance一书的P178原文(序号为自己所加):</p><p>1.The value Max(St-X,0) for calls or Max(X-St,0) for puts is also called the option's <strong>intrinsic value</strong> or exercise value.</p><p>2.<strong>Intrinsic value </strong>is what the option is worth to exercise it based on current conditons.</p><p>3.Prior to expiration,an option will normally sell for more than its Intrinsic value.The difference between the market price of the option and its Intrinsic value is called <strong>time value.Option price=Intrinsic value + Time Value.</strong></p><p>4.At expiration,of couse,the time value is zero.</p>
<br>alexyzhuo
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奖励 2008-12-15 14:20:39