{"id":29926,"date":"2023-12-07T08:48:07","date_gmt":"2023-12-07T08:48:07","guid":{"rendered":"https:\/\/masterskills.org\/blog\/mo-hinh-black-scholes-black-scholes-model-trong-dinh-gia-quyen-chon-la-gi.html"},"modified":"2023-12-23T06:11:01","modified_gmt":"2023-12-22T23:11:01","slug":"mo-hinh-black-scholes-black-scholes-model-trong-dinh-gia-quyen-chon-la-gi","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/mo-hinh-black-scholes-black-scholes-model-trong-dinh-gia-quyen-chon-la-gi.html","title":{"rendered":"M\u00f4 h\u00ecnh Black-Scholes (Black-Scholes model) trong \u0111\u1ecbnh gi\u00e1 quy\u1ec1n ch\u1ecdn l\u00e0 g\u00ec?"},"content":{"rendered":"
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H\u00ecnh minh h\u1ecda. Ngu\u1ed3n: KhanAcademy<\/i><\/p>\n<\/figcaption><\/figure>\n

M\u00f4 h\u00ecnh Black-Scholes<\/font><\/h2>\n

Kh\u00e1i ni\u1ec7m<\/b><\/p>\n

M\u00f4 h\u00ecnh Black-Scholes<\/b> trong ti\u1ebfng Anh l\u00e0 Black-Scholes model<\/b> ho\u1eb7c Black-Scholes-Merton model (BSM)<\/b>.<\/p>\n

M\u00f4 h\u00ecnh Black Scholes<\/b> l\u00e0 m\u1ed9t m\u00f4 h\u00ecnh to\u00e1n h\u1ecdc \u0111\u1ec3 \u0111\u1ecbnh gi\u00e1 h\u1ee3p \u0111\u1ed3ng quy\u1ec1n ch\u1ecdn. M\u00f4 h\u00ecnh \u01b0\u1edbc t\u00ednh s\u1ef1 thay \u0111\u1ed5i theo th\u1eddi gian c\u1ee7a c\u00e1c c\u00f4ng c\u1ee5 t\u00e0i ch\u00ednh v\u1edbi gi\u1ea3 \u0111\u1ecbnh gi\u00e1 c\u1ee7a c\u00e1c c\u00f4ng c\u1ee5 n\u00e0y s\u1ebd tu\u00e2n theo\u00a0ph\u00e2n ph\u1ed1i loga chu\u1ea9n.<\/p>\n

M\u00f4 h\u00ecnh \u0111\u01b0\u1ee3c ph\u00e1t tri\u1ec3n b\u1edfi ba nh\u00e0 kinh t\u1ebf h\u1ecdc Fischer Black, Myron Scholes and Robert Merton v\u00e0 \u0111\u01b0\u1ee3c c\u00f4ng b\u1ed1 v\u00e0o n\u0103m 1973.<\/p>\n

Gi\u1ea3 \u0111\u1ecbnh c\u1ee7a m\u00f4 h\u00ecnh<\/font><\/h3>\n

– L\u00e0 quy\u1ec1n ch\u1ecdn ki\u1ec3u ch\u00e2u \u00c2u<\/b> (ch\u1ec9 c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c th\u1ef1c hi\u1ec7n quy\u1ec1n khi \u0111\u00e1o h\u1ea1n).<\/p>\n

– Kh\u00f4ng c\u00f3 c\u1ed5 t\u1ee9c<\/b> \u0111\u01b0\u1ee3c tr\u1ea3 trong su\u1ed1t th\u1eddi gian c\u00f3 hi\u1ec7u l\u1ef1c c\u1ee7a quy\u1ec1n ch\u1ecdn.<\/p>\n

– Th\u1ecb tr\u01b0\u1eddng hi\u1ec7u qu\u1ea3<\/b> (bi\u1ebfn \u0111\u1ed9ng th\u1ecb tr\u01b0\u1eddng kh\u00f4ng th\u1ec3 d\u1ef1 \u0111o\u00e1n \u0111\u01b0\u1ee3c).<\/p>\n

– Kh\u00f4ng c\u00f3 chi ph\u00ed giao d\u1ecbch<\/b> trong vi\u1ec7c mua quy\u1ec1n ch\u1ecdn.<\/p>\n

– L\u00e3i su\u1ea5t phi r\u1ee7i ro v\u00e0 bi\u1ebfn \u0111\u1ed9ng c\u1ee7a t\u00e0i s\u1ea3n c\u01a1 s\u1edf x\u00e1c \u0111\u1ecbnh \u0111\u01b0\u1ee3c<\/b> v\u00e0 kh\u00f4ng \u0111\u1ed5i<\/b>.<\/p>\n

– L\u1ee3i nhu\u1eadn c\u1ee7a t\u00e0i s\u1ea3n c\u01a1 s\u1edf tu\u00e2n theo ph\u00e2n ph\u1ed1i chu\u1ea9n<\/b>.<\/p>\n

M\u1eb7c d\u00f9 m\u00f4 h\u00ecnh Black-Scholes ban \u0111\u1ea7u kh\u00f4ng xem x\u00e9t \u1ea3nh h\u01b0\u1edfng c\u1ee7a c\u1ed5 t\u1ee9c \u0111\u01b0\u1ee3c tr\u1ea3 trong su\u1ed1t th\u1eddi h\u1ea1n quy\u1ec1n ch\u1ecdn, m\u00f4 h\u00ecnh n\u00e0y th\u01b0\u1eddng \u0111\u01b0\u1ee3c \u0111i\u1ec1u ch\u1ec9nh \u0111\u1ec3 t\u00ednh c\u1ed5 t\u1ee9c b\u1eb1ng c\u00e1ch x\u00e1c \u0111\u1ecbnh gi\u00e1 tr\u1ecb tr\u01b0\u1edbc ng\u00e0y chia c\u1ed5 t\u1ee9c c\u1ee7a c\u1ed5 phi\u1ebfu.<\/p>\n

C\u00f4ng th\u1ee9c t\u00ednh<\/font><\/h3>\n

C\u00f4ng th\u1ee9c to\u00e1n h\u1ecdc c\u1ee7a m\u00f4 h\u00ecnh Black Scholes r\u1ea5t ph\u1ee9c t\u1ea1p. Tuy nhi\u00ean, nh\u00e0 giao d\u1ecbch c\u00f3 th\u1ec3 truy c\u1eadp v\u00e0o c\u00e1c n\u1ec1n t\u1ea3ng h\u1ed7 tr\u1ee3 t\u00ednh gi\u00e1 quy\u1ec1n ch\u1ecdn.<\/p>\n

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C\u00f4ng th\u1ee9c t\u00ednh<\/p>\n<\/figcaption><\/figure>\n

\u00a0Trong \u0111\u00f3:<\/p>\n

C = Gi\u00e1 c\u1ee7a quy\u1ec1n ch\u1ecdn mua
S = Gi\u00e1 hi\u1ec7n t\u1ea1i c\u1ee7a t\u00e0i s\u1ea3n c\u01a1 s\u1edf
K = Gi\u00e1 th\u1ef1c hi\u1ec7n
r = L\u00e3i su\u1ea5t phi r\u1ee7i ro
t = Th\u1eddi gian c\u00f2n l\u1ea1i c\u1ee7a h\u1ee3p \u0111\u1ed3ng
N = Ph\u00e2n ph\u1ed1i chu\u1ea9n<\/p>\n

H\u1ea1n ch\u1ebf c\u1ee7a m\u00f4 h\u00ecnh<\/font><\/h3>\n

– M\u00f4 h\u00ecnh Black Scholes ch\u1ec9 \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 \u0111\u1ecbnh gi\u00e1 c\u00e1c quy\u1ec1n ch\u1ecdn ki\u1ec3u Ch\u00e2u \u00c2u, kh\u00f4ng t\u00ednh \u0111\u01b0\u1ee3c gi\u00e1 quy\u1ec1n ch\u1ecdn ki\u1ec3u M\u1ef9 (c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c th\u1ef1c hi\u1ec7n tr\u01b0\u1edbc ng\u00e0y \u0111\u00e1o h\u1ea1n).<\/p>\n

– M\u00f4 h\u00ecnh gi\u1ea3 \u0111\u1ecbnh c\u1ed5 t\u1ee9c v\u00e0 l\u00e3i su\u1ea5t phi r\u1ee7i ro l\u00e0 kh\u00f4ng \u0111\u1ed5i nh\u01b0ng \u0111i\u1ec1u n\u00e0y c\u00f3 th\u1ec3 kh\u00f4ng \u0111\u00fang trong th\u1ef1c t\u1ebf.<\/p>\n

– M\u00f4 h\u00ecnh gi\u1ea3 \u0111\u1ecbnh \u0111\u1ed9 bi\u1ebfn \u0111\u1ed9ng kh\u00f4ng \u0111\u1ed5i trong su\u1ed1t v\u00f2ng \u0111\u1eddi c\u1ee7a quy\u1ec1n ch\u1ecdn, \u0111i\u1ec1u n\u00e0y kh\u00f4ng x\u1ea3y ra v\u00ec bi\u1ebfn \u0111\u1ed9ng d\u1ef1a tr\u00ean cung v\u00e0 c\u1ea7u.<\/p>\n

– Ngo\u00e0i ra, m\u00f4 h\u00ecnh gi\u1ea3 \u0111\u1ecbnh r\u1eb1ng kh\u00f4ng c\u00f3 chi ph\u00ed giao d\u1ecbch ho\u1eb7c thu\u1ebf; l\u00e3i su\u1ea5t phi r\u1ee7i ro kh\u00f4ng \u0111\u1ed5i cho t\u1ea5t c\u1ea3 c\u00e1c k\u1ef3 h\u1ea1n; \u0111\u01b0\u1ee3c ph\u00e9p b\u00e1n kh\u1ed1ng ch\u1ee9ng kho\u00e1n; kh\u00f4ng c\u00f3 c\u01a1 h\u1ed9i giao d\u1ecbch ch\u00eanh l\u1ec7ch gi\u00e1 phi r\u1ee7i ro. Trong khi, tr\u00ean th\u1ef1c t\u1ebf t\u1ed3n t\u1ea1i nh\u1eefng y\u1ebfu t\u1ed1 n\u00e0y.<\/p>\n

(Ngu\u1ed3n tham kh\u1ea3o: Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n M\u00f4 h\u00ecnh Black-Scholes (ti\u1ebfng Anh: Black-Scholes model) l\u00e0 m\u1ed9t m\u00f4 h\u00ecnh to\u00e1n h\u1ecdc \u0111\u1ec3 \u0111\u1ecbnh gi\u00e1 h\u1ee3p \u0111\u1ed3ng quy\u1ec1n ch\u1ecdn v\u1edbi gi\u1ea3 \u0111\u1ecbnh gi\u00e1 c\u1ee7a c\u00e1c c\u00f4ng c\u1ee5 n\u00e0y s\u1ebd tu\u00e2n theo ph\u00e2n ph\u1ed1i loga chu\u1ea9n.\n <\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[417],"tags":[],"_links":{"self":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/29926"}],"collection":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/comments?post=29926"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/29926\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=29926"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=29926"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=29926"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}