מודל בלק שולס מרטון

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    1997

    ' '

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    - 1973 CBOE- 1973

    1973- 1997 1993" -

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    -PUT

    -CALL

    ( :)

    *

    * .

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    :

    S.

    ( X)C .X

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    SXXC =+)(

    ( ):0%

    :( (

    ( ) SrXXC T =+

    +1

    )(

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    TrXSXC)1(

    )(+

    =

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    +=0

    )1()( TrXSMaxXC

    CALLCALL

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    PUTPUT

    +=0)1()(

    SrX

    MaxXP T

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    CALLCALL

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    PUTPUT

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    .

    .

    file:///mnt/temp/unoconv/20150224084154/
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    .

    , BS ,

    ( ,(

    .

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    SCHOLESSCHOLES - - BLACKBLACK

    1973 FISHER BLACK- MYRON SCHOLES

    . CALL .

    ( ).1973 1997

    ( - ).1995

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    SCHOLESSCHOLES - - BLACKBLACK

    .

    " (

    .(

    . .

    .

    .

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    ( (

    ( )[ ] rTrT XeSXTSeC ==

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    ( ) ( )

    ( ) ( )

    T

    T5.0/

    12

    2

    1

    21

    =

    ++=

    =

    dd

    TrXSLnd

    dXNedSNC rT

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    CALLCALL

    )2(*)1(*)( dNXedNSXC rt=

    ttrXSnd

    )5.0()/(11

    2++=

    :CALL

    * * = :

    tdd = 12

    -)N(d1- )N(d2 -d1 d2 .

    N(d1) - . (N(d2

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    : :

    %20%20

    2466.0365/90200

    205

    ==

    ===

    =

    rTXS

    .

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    ( ) ( ) N200205 )2466.0(2.021 = eddNC

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    37.9 0014.0 78.0

    21.17 62.14

    5

    ====

    ===

    hC

    XeSXS

    rT

    .

    .

    .

    .

    .

    .

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    CALLCALL

    CALL : BS

    BS

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    C(200)

    " "

    SBC /

    , (

    (

    5

    205200

    14.62

    C=17.21

    file:///mnt/temp/unoconv/20150224084154/
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    PUT:

    )1(*)2(*)( dNSdNXeXP rt =

    BS

    PUTPUT

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    X 100 S

    X 100

    X

    , .

    r

    . ,

    . ,

    t

    :5 BS

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    :

    . 500 .20% .8%

    .90 ) C(490 BS

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    BSBS CALLCALL

    30866368.0*98.0*490006763.0*50000)490(98.0

    6368.0)35.0( 6763.0)45.0(35.0365/902.045.02

    45.01.0

    0246.00202.0365/902.0

    365/90)2.0*5.008.0()490/500ln(1

    365/90*08.0

    2

    ====

    ====

    =+

    =++=

    Cee

    NNd

    d

    rt

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    :

    PUT

    CALL

    S

    X

    r

    ? t

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    .BS ,

    . ,

    . CALL

    PUT .

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    . .

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    VIXVIX - -

    " "

    .

    1993 CBOE - VOLTILITY INDEX -VIX

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    " "

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    .

    :

    (

    )

    S

    X

    r t

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    .

    .

    :CALL .

    . 100 0 ( 1 0

    ( " : )N(d1

    1

    0

    file:///mnt/temp/unoconv/20150224084154/
  • 34

    .

    .

    :PUT .

    ( ( .

    - 100 0- ( 1 0 ( "

    : N(d1(0- 1

    -1

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    .

    . ( ( PUT CALL . .

    .

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    .

    . , .

    CALL PUT ,

    . , .

    0 0

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    .

    .1%.PUT CALL

    .

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    .

    .1% CALL .PUT

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    , , , , , , ? ?

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    BS , .BS

    .CALL , PUT

    . ,( ( , .BS

    , BS .0

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    " "

    ( ) )2(*1*)( * dNXedNSeXC rttr =

    CALL ):*r (

    :

    tddt

    trrXSd

    =++= 12 )5.0*()/ln(12

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    PUTPUT

    PUT

    )1(*)2(*)( * dNSedNXeXP trrt =

    file:///mnt/temp/unoconv/20150224084154/

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