Black-Scholes value

Black-Scholes value
фин., бирж. стоимость по Блэку-Шоулзу (теоретическая стоимость опциона, рассчитанная по модели Блэка–Шоулза)

Англо-русский экономический словарь.

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  • Black-Scholes model — A financial option pricing model to calculate the expected value of share based payments using variables such as dividend yield, exercise period, exercise price, market price, risk free rate of return and share price volatility. The model assumes …   Law dictionary

  • Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European …   Wikipedia

  • Black Scholes Model — A model of price variation over time of financial instruments such as stocks that can, among other things, be used to determine the price of a European call option. The model assumes that the price of heavily traded assets follow a geometric… …   Investment dictionary

  • Black Scholes model — A model used to value options. This model was developed in 1973 by Fischer Black and Myron Scholes. While not the only sophisticated, mathematically derived model for valuing options, it was the first, and it remains the best known. American… …   Financial and business terms

  • Black \& Scholes Model —    A widely used option pricing formula for European style options, which have a fixed expiry time, created by Fischer Black and Myron Scholes in 1973. It allows assessment of the value of a call option at any particular time up to expiry.    ►… …   Financial and business terms

  • Black-Scholes Model —   A widely used option pricing equation developed in 1973 by Fischer Black en Myron Scholes. Used to price OTC options, value option portfolios, or evaluate option trading on exchanges …   International financial encyclopaedia

  • the Black-Scholes model — UK US noun [S] (also the Black Scholes option pricing model) FINANCE, STOCK MARKET ► a mathematical method of calculating whether an option (= the right to buy shares within a particular period of time) has a fair value, based on the price of… …   Financial and business terms

  • Scholes, Myron S. — ▪ Canadian American economist in full  Myron Samuel Scholes  born January 7, 1941, Timmins, Ontario, Canada       Canadian born American economist best known for his work with colleague Fischer Black on the Black Scholes option valuation formula …   Universalium

  • Black model — The Black model (sometimes known as the Black 76 model) is a variant of the Black Scholes option pricing model. Its primary applications are for pricing bond options, interest rate caps / floors, and swaptions. It was first presented in a paper… …   Wikipedia

  • Black's Model — A variation of the popular Black Scholes options pricing model that allows for the valuation of options on futures contracts. The Black model is used in the application of capped variable rate loans, and is also applied to price derivatives such… …   Investment dictionary

  • Value at Risk — Der Begriff Wert im Risiko oder englisch Value at Risk (VaR) bezeichnet ein Risikomaß, das angibt, welchen Wert der Verlust einer bestimmten Risikoposition (z. B. eines Portfolios von Wertpapieren) mit einer gegebenen Wahrscheinlichkeit und in… …   Deutsch Wikipedia

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