Seite: 75, Zeilen: 13-20
|Quelle: Brealey Myers 1981|
Seite(n): 439, Zeilen: 29 ff.
|The exact Black and Scholes (1973) formula is expressed below:
N(d) is the probability that a normally distributed random variable will be less than or equal to d.
|Black and Scholes show that there is only one call price formula that meets that requirement. This unpleasant-looking formula is:
N(d) = cumulative normal probability density function15
EX = exercise price of option
t = time to exercise date
15 That is, N(d) is the probability that a normally distributed random variable will be less than or equal to d.
P = price of stock now
σ2 = variance per period of (continuously compounded) rate of return on the stock
rf = (continuously compounded) risk-free rate of interest
[Anm. evtl. so oder so ähnlich sinnvoll?]
The source is given, but only in a footnote text for the one sentence in the main text that follows this fragment.
The comparison shows that passages like the listed ones cannot be found in Black and Scholes (1973):