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临江仙 · 2020年09月26日

问一道题:NO.PZ2020021205000024

问题如下:

How is the Black-Scholes-Merton formula used to value European options on a dividend-paying stock?

选项:

解释:

The present value of the dividends that have ex-dividend dates during the life of the option is subtracted from the stock price when the formula is used. The volatility applies to the stock price minus the present value of the dividends. In this context, a dividend is defined as the reduction in the stock price on the ex-dividend date.

不是很理解这个答案,盼复,谢谢。

1 个答案
已采纳答案

袁园_品职助教 · 2020年09月26日

同学你好!

答案就是在解释 BSM 针对分红股票的欧式期权定价公式

你可以再去听一下 Section 17. The Black-Scholes-Merton Model 的 Effect Of Dividend 这一节视频