Mục lục

  • Slide 1

  • The Stock Price Assumption

  • The Lognormal Property (Equations 13.2 and 13.3, page 282)

  • The Lognormal Distribution

  • Slide 5

  • The Expected Return

  • m and m−s2/2

  • Mutual Fund Returns (See Business Snapshot 13.1 on page 285)

  • The Volatility

  • Estimating Volatility from Historical Data (page 286-88)

  • Nature of Volatility

  • The Concepts Underlying Black-Scholes

  • The Derivation of the Black-Scholes Differential Equation

  • Slide 14

  • Slide 15

  • The Differential Equation

  • The Black-Scholes Formulas (See pages 295-297)

  • The N(x) Function

  • Properties of Black-Scholes Formula

  • Risk-Neutral Valuation

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