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期权,期货与其衍生品第14弹课件
Chapter 14 The Black-Scholes-Merton Model;The Stock Price Assumption;The Lognormal Property (Equations 14.2 and 14.3, page 300);The Lognormal Distribution;Continuously Compounded Return (Equations 14.6 and 14.7, page 302) ;The Expected Return;m and m ?s 2/2;Mutual Fund Returns (See Business Snapshot 14.1 on page 304);The Volatility;Estimating Volatility from Historical Data (306);Nature of Volatility;Example;The Concepts Underlying Black-Scholes-Merton;The Derivation of the Black-Scholes Differential Equation;The Derivation of the Black-Scholes Differential Equation continued;The Derivation of the Black-Scholes Differential Equation continued;The Differential Equation;The Black-Scholes-Merton Formulas (See pages 313-315);The N(x) Function;Properties of Black-Scholes Formula ;Risk-Neutral Valuation;Applying Risk-Neutral Valuation ;Valuing a Forward Contract with Risk-Neutral Valuation;Proving Black-Scholes-Merton Using Risk-Neutral Valuation (Appendix to Chapter 14);Implied Volatility;The VIX SP500 Volatility Index;An Issue of Warrants Executive Stock Options;The Impact of Dilution ;Dividends;American Calls;Black’s Approximation for Dealing with Dividends in American Call Options
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