布莱特舒尔斯期权定价模型

1、布布莱莱克克-舒舒尔尔斯斯期期权权定定价价模模型型 基基础础输输入入当前股价S（元）100.00年波动率s25.00%无风险利率r5.47%协议价格X（元）100.00到期时间T-t（年）0.25输输出出d10.172d20.047N(d1)0.568N(d2)0.519看涨期权价格c5.658-d1-0.172-d2-0.047N(-d1)0.432N(-d2)0.481看跌期权价格p4.300布布莱莱克克-舒舒尔尔斯斯期期权权定定价价模模型型 连连续续红红利利输输入入当前股价S（元）100.00年波动率s25.00%无风险利率r5.47%协议价格X（元）100.00到期时间T-t（年）0.

2、3556红红利利收收益益率率（d)3.00%输输出出d10.133d2-0.016N(d1)0.553N(d2)0.494看涨期权价格c6.30-d1-0.133-d20.016N(-d1)0.447N(-d2)0.506看看跌跌期期权权价价格格p5.43布布莱莱克克-舒舒尔尔斯斯期期权权定定价价模模型型 动动态态图图看看跌跌期期权权输输入入期权种类：1=看涨，0=看跌00年波动率s25.0%250无风险利率r4.0%40协议价格X（元）100.0010000到期时间T-t（年）1.0001000动动态态图图输输出出当前股价S（元）0.0120.0040.0060.0080.00100.001

3、20.00140.00160.00180.00200.00期权价格96.0776.0856.0836.3019.037.922.740.830.230.060.02内在价值d1-36.556-6.153 -3.380-1.758-0.6080.2851.0141.6312.1652.6363.058d2-36.806-6.403 -3.630-2.008-0.8580.0350.7641.3811.9152.3862.808N(d1)0.0000.0000.0000.0390.2720.6120.8450.9490.9850.9960.999N(d2)0.0000.0000.0000.0220

4、.1960.5140.7780.9160.9720.9910.998看涨期权价格c0.000.000.000.222.9511.8426.6644.7564.1683.98103.94-d136.5566.1533.3801.7580.608-0.285-1.014-1.631-2.165-2.636-3.058-d236.8066.4033.6302.0080.858-0.035-0.764-1.381-1.915-2.386-2.808N(-d1)1.0001.0001.0000.9610.7280.3880.1550.0510.0150.0040.001N(-d2)1.0001.0001.0000.9780.8040.4860.2220.0840.0280.0090.002看跌期权价格d96.0776.0856.0836.3019.037.922.740.830.230.060.02BS期期权权定定价价动动态态图图200 150 100 50 0 0 20 40 60 80 100 当当前前股股价价期期权权价价格格0.01100.00200.0099.990.000.00-36.5560.2853.058-36.8060.0352.8080.0000.6120.9990.0000.5140.99836.