学帮网我给80分如果你回答的好,我再加50分Important groundwork for the numerical(i.e.,non-formula-based)valuation of options in practice was laid by Cox and Ross,who established the replication principle and risk-neutral valuation.The replicatin
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我给80分如果你回答的好,我再加50分
Important groundwork for the numerical(i.e.,non-formula-based)valuation of options in practice was laid by Cox and Ross,who established the replication principle and risk-neutral valuation.The replicating principle stipulates that the payoff(and therefore,the value)of an option can be replicated from an equivalent portfolio of traded securities and cash.Risk-neutral valuation implies that the valuation of options is independent of the risk preferences of investors and thus,in a sense,universal.
Starting in 1976,alternative option pricing models were developed.They subsequently relaxed some of the stringent assumptions of the Black/Scholes model and thus contributed to a more realistic modeling of the option price.Cox and Ross developed the constant elasticity of variance model,which represents the volatility of the stock prices in a more realistic way.next to emerge were Merton's jump diffusion model and the pure jump model developed by Cox,Ross and Rubinstein,which allowed the stock price to follow a jump process instead of the purely continuous process assumed by Black/Scholes.Finally,Geske's compound option model and Rbuinstein's displaced diffusion model replaced the stock price as the underlying asset with different combinations of debt and the value of the firm.
重要的基础non-formula-based数值(例如,在实践中)你所估定的价期权安放考克斯等罗斯,谁创造了复制原理和风险中性报价.由仿制原则规定,支付(因此,价值)可以被重复期权的公事包从等效进行买卖证券和现金.利用风险中性估值意味着你所估定的价期权是独立于投资者对风险的偏好,因此,从某种意义上讲,是普遍适用的.
1976年开始选择定价模型,也被开发出来.他们后来放松严格的一些设想,黑/斯科尔斯模型,从而导致了更多的真实感建模的期权的价格.考克斯和罗斯发达不断的弹性,代表方差模型的股票价格的波动大以一种更现实的旁边是莫顿得中扩散模型和纯粹的跳模型,罗斯还有鲁宾斯坦考克斯,使得股票价格服从跳过程来代替了单纯的持续过程为黑色/斯科尔斯.最后,盖斯克的复合看涨期权模型和Rbuinstein的流离失所的扩散模型取代了股票的价格为标的资产与不同的组合,债务和企业的价值.