手法を比較
選択した手法を並べて確認できます。異なる行はハイライト表示されます。
| Black-Scholes-Mertonオプション価格モデル× | 二項オプション価格設定 (Cox-Ross-Rubinstein)× | |
|---|---|---|
| 分野 | ファイナンス | ファイナンス |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1973 | 1979 |
| 提唱者≠ | Fischer Black, Myron Scholes & Robert Merton | John Cox, Stephen Ross & Mark Rubinstein |
| 種類≠ | Continuous-time option-pricing model | Discrete-time lattice option-pricing model |
| 原典≠ | Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654. DOI ↗ | Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229–263. DOI ↗ |
| 別名≠ | Black-Scholes formula, Black-Scholes-Merton model, BSM model, Black-Scholes opsiyon fiyatlama modeli | binomial tree model, Cox-Ross-Rubinstein model, CRR model, lattice option pricing |
| 関連 | 4 | 4 |
| 概要≠ | The Black-Scholes-Merton model, published by Fischer Black and Myron Scholes in 1973 with the theoretical framework extended by Robert Merton, gives a closed-form no-arbitrage price for European options. By assuming the underlying asset follows geometric Brownian motion with constant volatility, it derives a partial differential equation whose solution expresses the option price in terms of the stock price, strike, time to maturity, risk-free rate, and volatility — transforming option pricing from intuition into a rigorous, tractable formula. | The binomial option pricing model, introduced by John Cox, Stephen Ross, and Mark Rubinstein in 1979, prices options by modelling the underlying as a discrete tree in which the price moves up or down by fixed factors at each step. Working backward from the option's payoff at maturity using risk-neutral probabilities, it produces a no-arbitrage price that converges to Black-Scholes as the number of steps grows — while naturally handling American early exercise, which the closed-form formula cannot. |
| ScholarGateデータセット ↗ |
|
|