Coder Social home page Coder Social logo

bsm_option_pricing's Introduction

BSM_Option_pricing

BSM期权定价

模型假设

  • 1、股票价格行为服从对数正态分布模式；
  • 2、在期权有效期内，无风险利率和金融资产收益变量是恒定的；
  • 3、市场无摩擦，即不存在税收和交易成本，所有证券完全可分割；
  • 4、金融资产在期权有效期内无红利及其它所得(该假设后被放弃)；
  • 5、该期权是欧式期权，即在期权到期前不可实施。
  • 6、不存在无风险套利机会；
  • 7、证券交易是持续的；
  • 8、投资者能够以无风险利率借贷。

定价公式

image

bsm_option_pricing's People

Contributors

aplicity avatar

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. 📊📈🎉

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google ❤️ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.