Semua buku

Profesional

Aplikasi Tentang Pelatih Masuk Mulai membaca

Quantitative Finance · Glosarium

Apa itu Black–Scholes equation?

Dikenal juga sebagai: Black--Scholes equation

Definition 3.2 Derivatives and Volatility · Bab 3 — Black–Scholes Three Ways

The Black–Scholes equation is the parabolic partial differential equation

∂tV+(r−q)S ∂SV+12σ2S2 ∂SSV−rV=0,V(T,S)=g(S),\partial_tV+(r-q)S\,\partial_SV+\tfrac12\sigma^2S^2\,\partial_{SS}V-rV=0, \qquad V(T,S)=g(S),

satisfied by the value of any European claim on the share in the Black–Scholes model.

Baca dalam konteks →

Istilah terkait