第8讲 BSM模型定价法 .pdfVIP

CFA Level Ⅱ: Derivatives 主讲人：Evelyn 高 B S M 模型定价法 Black–Scholes–Merton Option Valuation Model Valuation of Contingent Claims • Binomial Option Valuation Model • Black–Scholes–Merton Option Valuation Model ü Assumptions of the BSM Model ü BSM Model • Black Option Valuation Model • Option Greeks and Implied Volatility Continuous-time option pricing model • As the period covered by a binominal model is divided into arbitrarily small, discrete time periods, the model results converge to those of continuous