The Black-Scholes-Merton Model是FRM考試的相關(guān)金融知識(shí),備考中的考生千萬(wàn)不能忽視。只要掌握了對(duì)備考才有幫助,才能順利通過FRM考試!下文是小編列舉的相關(guān)知識(shí)介紹,希望對(duì)備考的你有所幫助!

The Black-Scholes-Merton Model(布萊克-斯科爾斯-默頓模型)的意思,它的公式是:

FRM考試

The Black-Scholes-Merton Model假設(shè):》》》報(bào)名繁瑣?找融躍教育FRM考試免費(fèi)代報(bào)名服務(wù)

·The price of the underlying asset follows a lognormal distribution.

·The short selling of securities with full use of proceeds is permitted.

·There are no transaction costs or taxes. All securities are perfectly divisible.

·There are no dividends during the life of the derivative(該假設(shè)可以放寬).

·There are no riskless arbitrage opportunities.

·Security trading is continuous.

·The risk-free rate of interest, r, is constant and the same for all maturities.

·The volatility of the underlying asset, σ, is know and constant.

·The options are European.

The Black-Scholes-Merton Model其他:【資料下載】[融躍財(cái)經(jīng)]FRM一級(jí)ya題-pdf版

Implied volatility: 由BSM model倒推得到的波動(dòng)率

historical volatilities are backward looking, implied volatilities areforward looking.

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