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所在平台: Udemy |
课程主页: https://www.udemy.com/course/black-scholes-merton-model-for-option-valuation-excel-based/
课程评论：没有评论
课程名称：基于Excel的黑-斯科尔斯期权估值模型 课程概述： 本课程的主要目标是构建一个基于Excel的黑-斯科尔斯-梅特罗模型，用于期权定价，以及计算未来某一日期的期权价格。该模型以获得诺贝尔经济学奖的三位经济学家命名，从1973年至今，该模型在交易员理解欧洲期权价格波动方面广泛使用。 在课程中，您将首先了解黑-斯科尔斯模型的理论基础，然后学习欧洲和美国股票期权之间的区别，接着掌握三个重要的Excel函数：NORMSDIST()、EXP()和LN()。如果您使用最新版本的Excel，还可以使用NORM.S.DIST()函数。 课程内容涵盖期权到期日、评估日、标的资产价格、执行价格、到期时间、无风险利率、股息收益率和波动率等概念。随后，我们将逐步开发PUT和CALL欧洲期权的估值模型，并详细解释每个单元格的输入及其公式之间的关联。最终，您将能够下载整个电子表格并查看所有后台工作的公式。 该电子表格的独特之处在于，它不使用用户自定义函数和宏，适用于2007及以后的所有Excel版本。在学习过程中，如有任何问题，我会通过Udemy系统提供支持，通常会在48小时内回复您。 关于黑-斯科尔斯-梅特罗模型： 黑-斯科尔斯-梅特罗模型是一种定价模型，用于根据波动率、标的股票价格、到期时间、执行价格和无风险利率等五个变量来确定欧洲看涨或看跌期权的公平价格或理论价值。该模型假设股票价格遵循对数正态分布，期权只能在到期日行使，因此在欧洲期权市场被广泛使用，但对美国期权的定价并不准确。 课程建议按顺序学习，以获得最佳效果。最终，您将获得一个可持续使用的完整Excel模型，并学会如何使用它。祝您学习愉快！
About the CourseThis course has a single objective which is to build up an Excel based Black-Scholes-Metron Model used for option pricing and calculating option price on a future date. Two of the three persons after whom the model is named are winner of Nobel Memorial Prize for Economic Sciences. The third person would also have got the prize, but he died before the prize was announced and this prize is not given posthumously. Since 1973 till today this model is widely used by traders to understand movement of European Option price. I have developed this model in Excel and have back-tested with actual market data. You can first understand the theory behind this model. Then you need to understand the difference between European and American stock options. Then you can understand three important Excel function NORMSDIST(), EXP() and LN(). If you are using the latest version of Excel you can use the NORM.S.DIST() function of Excel also. Then I shall take you through the concepts of Option Expiry Date, Option Valuation Date, Underlying Price, Exercise Price, Time to Maturity, Risk Free Rate of Interest, Dividend Yield and Volatility. Then I shall develop,step by step, the valuation model for both PUT and Call European options. Input in each cell will be explained and how they are linked with formula will also be explained. Finally you shall be able to download the entire spreadsheet and view all the formula that are working in the background. The beauty of this spreadsheet is, it has no user-defined functions and no macros. It works in all the versions of Excel from 2007 to any later version of Excel. In case of any difficulty I am always available through the Udemy system. I shall try to answer any query that you may have in 48 hours flat. About the Black-Scholes-Merton modelBlack-Scholes-Merton is a pricing model used to determine the fair price or theoretical value for an European call or a put option based on five variables such as volatility, underlying stock price, time to maturity, strike price, and risk-free rate of interest.The Black-Scholes-Merton model assumes that stock prices follow a log normal distribution based on the principle that asset prices cannot take a negative value; they are bounded by zero.The model assumes that the options can only be exercised on its expiration or maturity date. And so it is extensively used in the European options market. Hence, it does not accurately price American options.The Excel functions usedBlack-Scholes-Metron model tries to value the options, call and put, in a random walk situation. That is why it is anchored on the underlying stock price. To that it applies the concept of volatility, time to maturity, strike price and risk free rate of interest to arrive at the correct price of option. An additional input that is considered is dividend yield, in case of a dividend paying stock.The probability of underlying stock price being higher or lower than the strike price determines a part of the option price. Hence the Excel function of NORMSDIST() or NORM.S.DIST() is used. And the underlying stock price follows a log normal distribution and can never be zero. That is why Exp() and LN() functions are used.Please follow the lessons sequentially only to get the full benefit of the course. Ultimately, you shall get a downloadable fully developed model in Excel, which can be used at all times in the future. I shall not only develop the model, I shall show you how to use it. Happy learning!
