M rng m hnh nh phn vi n thi k Khi chng ta khng c nh thi gian o hn ca quyn chn trong m hnh nh phn th khi

s thi k tng ln ngha l chng ta lm gia tng thi gian o hn ca quyn chn, iu ny s tc ng lm gia tng gi tr quyn chn, phn nh tc ng ca yu t thi gian ln gi tr ca quyn chn. Khi s thi k tng ln ngha l ng i ca gi c phiu v quyn chn c m rng. Khi chng ta vn d dng tm c hin gi ca quyn chn bng cch chia nh cy nh phn n thi k thnh nhiu cy nh phn mt thi k v t tm ra gi tr C ( hoc P). Cng thc tng qut c dng nh sau:

C=

( (

) ) -

4.3 nh gi quyn chn bng m hnh Black Scholes Back Scholes l phin bn nng cp ca m hnh nh phn. M hnh nh phn l mt trong hai m hnh c gi l cc m hnh thi gian ri rc. Trong cc m hnh ny, thi hn ca quyn chn c chia thnh mt s n v thi gian hu hn nht nh. V d: nu mt quyn chn c thi hn l 100 ngy v chng ta s dng n = 100 cc bc thi gian nh phn, mi bc thi gian i din cho mt ngy. Khi thi gian tri i, gi c phiu nhy t mc ny sang mt trong hai mc tip theo. Tuy nhin, trong thc t th thi gian tri i khng ngng v gi c phiu ni chung ch thay i vi nhng gia s rt nh. Tht ra, chng ta c th m t c tnh bin ng ca gi c phiu dng hoc l tng ln mc gia s nh nht gi l mt bin ng tng, hoc gim xung vi mc gia s gim thp nht, gi l mt bin ng gim. c tnh nh vy c th hin tt hn trong cc m hnh thi gian lin tc. M hnh Black-Scholes s dng khun kh m hnh thi gian lin tc nh gi quyn chn. Chng ta thy rng gi quyn chn dao ng xunh quanh v bt u n nh mt s lng thi k c th no . Hnh v ny c cc nh ton hc gi l hi t. M hnh nh gi quyn chn

nh phn hi t vo mt gi tr c th trong gii hn. Gi tr ny tr thnh gi m hnh Black Scholes.

Cc gi nh ca m hnh: Gi c phiu bin ng ngu nhin v pht trin theo phn phi logarit chun. Li sut phi ri ro v bt n ca t sut sinh li theo logarit ca c phiu khng thay i trong sut thi gian o hn ca quyn chn. Khng c thu v chi ph giao dch. C phiu khng tr c tc. Cc quyn chn l kiu Chu u. Cng thc Black Scholes:

C= S0N(d1)
Vi:
( ) ( )

N(d2)

N(d1), N(d2) = xc sut phn phi chun tch ly. = bt n hng nm ( lch chun) ca t sut sinh li ghp li lin tc (logarit) ca c phiu. rc = li sut phi ri ro ghp li lin tc. Tt c cc bin khc c nh ngha ging nh trong phn trc. V d: S dng cng thc Black-Scholes nh gi mt quyn chn mua c phiu AOL thng 6: Gi thc hin 125 Gi c phiu $125,9375 Thi gian n khi o hn l 0,0959 Li sut phi ri ro l 4,56% lch chun = 0,83 Li sut phi ri ro phi c biu din di dng li sut c ghp li lin tc. Rc = ln(1,0456) = 4,46. Gii: Tm tt: S0= 125,9375 X= 125 Rc= 0,0446 = 0,83 T= 0,0959

1. Tnh ton d1 ( 2. Tnh ton d2 3. Tm gi tr N(d1) N(d1)= 0,5675 4. Tm gi tr N(d2) N(-0,08) = 1 N(0,08) = 1 0,5319 = 0,4681. 5. a vo cng thc tm C )

C = 125,9375(0,5675) 125e-0,0446(0,0959)(0,4681) = 13,21.