Lecture 06 期权定价的B-S模型.pdf

6.1 6.2 B-S Lecture 06 9 • S • ln S T B-S 0 • Valuing Stock Options: The Black-Scholes Model S Financial Engineering, Lingnan College,Master Courses Class, by Prof.NIU Hong Financial Engineering, Lingnan College,Master Courses Class, by Prof.NIU Hong 6.3 6.4 Volatility 1. S , S , .. . , S τ 0 1 n • τ=1/2521/52 ⎛ S ⎞ 2. u ln ⎜ i ⎟ i ⎜S ⎟ ⎝ i −1