Black-Scholes 模型中 d1,d2 是怎么得到的?如何理解 Black-Scholes 模型?
17 June 2025 admin
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总的来说,d1描述期权对股价的敏感程度,d2描述期权最后被执行的可能性。 更深一步来说, N(d1)是在风险中性测度下,按股价加权得到的期权被执行的可能性,N(d2)是在风险中性条件下,(不按股价加权)得到的期权被执行的可能性。
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