此贴作废 请版主删帖

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

deleted by author

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Deleted Author delete Aut del 价格 关系 定价 期权

期权的本质是其标的资产的波动率。期权的市场价格表达出了交易者对未来资产波动率的观点。
B-S公式基于无套利，其对波动率不变的假设是错的很离谱的。但他是一种行业基准，加入没有的话，Implied volatility 也就算不出来了

一般好的书上都会写b-s公式的缺陷的，上财的难道会不讲？

个人理解。B-S公式是在假设市场上的人都是无风险中性的，其定义出来的价格仅仅是一种理论价格，体现的是时间价值和内在价值的总和，根本就没有体现市场上的供需关系，从理论上来说应该是一样，但是在实际操作中根本就没有任何关系。

deleted by author

deleted by author

neftci
If this Black-Scholes assumption is violated, wouldn’t the price given by the Black-Scholes
formula be “wrong,” and, hence, the volatility implied by the formula be erroneous? This question
needs to be carefully considered. In the end, we will see that there really are no inconsistencies
in traders’ behavior.We can explain this as follows.
1. First, note that the Black-Scholes formula is simple and depends on a small number
of parameters. In fact, the only major parameter that it depends on is the volatility, σ.
Asimple formula has some advantages. It is easy to understand and remember. But, more
importantly, it is also easy to realize where or when it may go wrong. A simple formula
permits developing ways to correct for any inaccuracies informally by making subjective
adjustments during trading. The Black-Scholes formula has one parameter, and it may be
easier to remember how to “adjust” this parameter to cover for the imperfections of the
formula.11
2. An important aspect of the Black-Scholes formula is that it has become a convention.
In other words, it has become a standard among professionals and also in computer
platforms. The formula provides a way to connect a volatility quote to a dollar value
attached to this quote. This way traders use the same formula to put a dollar value on a
volatility number quoted by the market. This helps in developing common platforms for
hedging, risk managing, and trading volatility.
3. Thus, once we accept that the use of the Black-Scholes formula amounts to a convention,
and that traders differ in their selection of the value of the parameter σ, then the critical
process is no longer the option price, but the volatility. This is one reason why in many
markets, such as caps, floors, and swaptions markets, the volatility is quoted directly.

而是问假设B-S公式的应用条件成立，B-S算出的价格是不是理论上的期权费？
理论上的期权费不就是这个诺奖公式推出来的么？还是我没理解这个问题。
我还是认为对波动率的理解加深后，对期权的理论价和市场价会有更好的理解。

deleted by author

shufe080607 发表于 2010-4-21 18:58
6# iharpst 对啊，我就是问的老师B-S推出来的是不是理论上的期权费，可她非说不是。我又问她那么B-S算出的“价格”到底算是什么，跟其它哪个量相关呢？她说无关，让我不要多想式子有什么含义，背下来会套公式做计算题即可…无语。此外，我看了你英文部分的解答，也就是市场上人们对于欧式期权的定价“约定俗成”地使用B-S公式，而人们对标的资产价格的波动率的不同预期促使人们对该期权进行套利活动，最终的结果仍是期权价格被公平定价于B-S得出的结果之上，对我很有启发，谢谢你

from your description, it seems your professor is incompetent.

which school are you in?

deleted by author

既然是是corporate finance方向的，那么应该从公司融资结构的角度来上corporate finance. 从这个意义上讲，上财出版的周洛华的中级金融工程是很好的教材。不强调很复杂的数理，结合案例论述了金融工程发现价值的作用。而波动率层面上的理解则是基于投资组合的考虑。
so for the doctor's good, 理解她只背公式做题可以是她强调金工应用与公司治理的结合的用心吧，哈哈。Lz可以多问她corporate finance的问题。
ps:corporate finance 畅销教材作者ross也是年度金融工程师啊