定价竞争策略英文.pptVIP

Part B maturity 50 days, r=5.15% Type of options Strike price Mean option price Implied volatility(%) Call Call Call Put Put 90 95 100 90 95 5 3/8 2 3/4 1.00 1.50 3 3/4 20.18 22.24 21.24 23.63 24.45 第三十页，共四十二页。 Lecture #9: Black-Scholes option pricing formula 第一页，共四十二页。 ·??????? Brownian Motion The first formal mathematical model of financial asset prices, developed by Bachelier (1900), was the continuous-time random walk, or Brownian motion. This continuous-time process is closely related to the discrete-time versions of the random walk. 第二页，共四十二页。 ·??????? The discrete-time random walk Pk = Pk-1 + ?k, ?k = ? (-?) with probability ? (1-?), P0 is fixed. Consider the following continuous time process Pn(t), t ? [0, T], which is constructed from the discrete time process Pk, k=1,..n as follows: Let h=T/n and define the process Pn(t) = P[t/h] = P[nt/T] , t ? [0, T], where [x] denotes the greatest integer less than or equal to x. Pn(t) is a left continuous step function. 第三页，共四十二页。 We need to adjust ?, ? such that Pn(t) will converge when n goes to infinity. Consider the mean and variance of Pn(T): E(Pn(T)) = n(2?-1) ? Var (Pn(T)) = 4n?(?-1) ?2 第四页，共四十二页。 We wish to obtain a continuous time version of the random walk, we should expect the mean and variance of the limiting process P(T) to be linear in T. Therefore, we must have n(2?-1) ? ? ?T 4n?(?-1) ?2 ??T This can be accomplished by setting ? = ?*(1+??h /?), ?=??h 第五页，共四十二页。 ·??????? The continuous time limit It cab be shown that the process P(t) has the following three properties: 1. For any t1 and t2 such that 0 ? t1 t2 ? T: P(t1)-P(t2) ??(?(t2-t1), ?2(t2-t1)) 2. For any t1, t 2 , t3, and t4 such that 0 ? t1 t2 t1 t2 ? t3 t4? T, the increment P(t2)- P(t1) is statistically independent of the increment P(t4)- P(t3). 3. The sample paths of P(t) are continuous. P(t) is called arithmetic Brownian motion or Winner process. 第六页，共四十二页。 If we set ?=0, ?=1, we