{"id":31456,"date":"2023-12-07T10:39:38","date_gmt":"2023-12-07T10:39:38","guid":{"rendered":"https:\/\/masterskills.org\/blog\/mo-hinh-merton-merton-model-la-gi-cong-thuc-mo-hinh-merton.html"},"modified":"2023-12-23T08:17:40","modified_gmt":"2023-12-23T01:17:40","slug":"mo-hinh-merton-merton-model-la-gi-cong-thuc-mo-hinh-merton","status":"publish","type":"post","link":"https:\/\/masterskills.org\/blog\/mo-hinh-merton-merton-model-la-gi-cong-thuc-mo-hinh-merton.html","title":{"rendered":"M\u00f4 h\u00ecnh Merton (Merton Model) l\u00e0 g\u00ec? C\u00f4ng th\u01b0\u0301c M\u00f4 hi\u0300nh Merton"},"content":{"rendered":"
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Hi\u0300nh minh ho\u0323a. Ngu\u00f4\u0300n: Aschool.huji.ac.il<\/i><\/p>\n<\/div>\n<\/div>\n

M\u00f4 h\u00ecnh Merton<\/font><\/h2>\n

Kha\u0301i ni\u1ec7<\/span>m<\/b><\/p>\n

M\u00f4 h\u00ecnh Merton<\/b> trong ti\u00ea\u0301ng Anh la\u0300 Merton Model<\/b>.<\/p>\n

M\u00f4 h\u00ecnh Merton<\/b> l\u00e0 m\u1ed9t m\u00f4 h\u00ecnh ph\u00e2n t\u00edch \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 \u0111\u00e1nh gi\u00e1 r\u1ee7i ro t\u00edn d\u1ee5ng m\u1ed9t kho\u1ea3n n\u1ee3 c\u1ee7a c\u00f4ng ty.<\/p>\n

C\u00e1c nh\u00e0 ph\u00e2n t\u00edch v\u00e0 nh\u00e0 \u0111\u1ea7u t\u01b0 s\u1eed d\u1ee5ng m\u00f4 h\u00ecnh Merton<\/b> \u0111\u1ec3 hi\u1ec3u \u0111\u01b0\u01a1\u0323c kh\u1ea3 n\u0103ng cu\u0309a m\u1ed9t c\u00f4ng ty trong vi\u1ec7c \u0111\u00e1p \u1ee9ng c\u00e1c ngh\u0129a v\u1ee5 t\u00e0i ch\u00ednh, thanh toa\u0301n n\u1ee3 v\u00e0 c\u00e2n nh\u1eafc kh\u1ea3 n\u0103ng l\u01a1\u0301n h\u01a1n r\u1eb1ng n\u00f3 co\u0301 th\u00ea\u0309 se\u0303 kh\u00f4ng co\u0301 kha\u0309 n\u0103ng tra\u0309 ca\u0301c khoa\u0309n n\u01a1\u0323 t\u00edn d\u1ee5ng.<\/p>\n

N\u0103m 1974, nh\u00e0 kinh t\u1ebf Robert C. Merton \u0111\u00e3 gi\u01a1\u0301i thi\u1ec7<\/span>u m\u00f4 h\u00ecnh n\u00e0y s\u01b0\u0309 du\u0323ng cho \u0111\u00e1nh gi\u00e1 r\u1ee7i ro trong c\u01a1 c\u1ea5u t\u00edn d\u1ee5ng c\u1ee7a m\u1ed9t c\u00f4ng ty b\u1eb1ng c\u00e1ch m\u00f4 h\u00ecnh h\u00f3a v\u1ed1n ch\u1ee7 s\u1edf h\u1eefu c\u1ee7a c\u00f4ng ty nh\u01b0 m\u1ed9t quy\u00ea\u0300n ch\u1ecdn mua t\u00e0i s\u1ea3n c\u1ee7a c\u00f4ng ty \u0111o\u0301. M\u00f4 h\u00ecnh n\u00e0y sau \u0111\u00f3 \u0111\u00e3 \u0111\u01b0\u1ee3c Fischer Black v\u00e0 Myron Scholes m\u1edf r\u1ed9ng \u0111\u1ec3 ph\u00e1t tri\u1ec3n l\u00ean M\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 Black-Scholes\u00a0cho c\u00e1c quy\u00ea\u0300n ch\u1ecdn \u0111a\u0303 \u0111oa\u0323t gi\u1ea3i Nobel.<\/p>\n

C\u00f4ng th\u01b0\u0301c M\u00f4 hi\u0300nh Merton\u00a0<\/font><\/h3>\n
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Trong \u0111o\u0301:<\/p>\n

E la\u0300 gi\u00e1 tr\u1ecb l\u00ed<\/span> thuy\u1ebft v\u1ed1n ch\u1ee7 s\u1edf h\u1eefu cu\u0309a c\u00f4ng ty<\/p>\n

Vt<\/sub> la\u0300 gi\u00e1 tr\u1ecb t\u00e0i s\u1ea3n c\u1ee7a c\u00f4ng ty trong giai \u0111o\u1ea1n t<\/p>\n

K la\u0300 gi\u00e1 tr\u1ecb n\u1ee3 c\u1ee7a c\u00f4ng ty<\/p>\n

t la\u0300 kho\u1ea3ng th\u1eddi gian hi\u1ec7n t\u1ea1i<\/p>\n

T la\u0300\u00a0kho\u1ea3ng th\u1eddi gian trong t\u01b0\u01a1ng lai<\/p>\n

r la\u0300\u00a0l\u00e3i su\u1ea5t phi r\u1ee7i ro<\/p>\n

N la\u0300\u00a0t\u00edch l\u0169y ti\u00eau chu\u00e2\u0309n ph\u00e2n ph\u00f4\u0301i chu\u00e2\u0309n<\/p>\n

e la\u0300\u00a0c\u01a1 s\u1ed1 c\u1ee7a logarit t\u1ef1 nhi\u00ean<\/p>\n

\u03c3 la\u0300 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a l\u1ee3i nhu\u1eadn ch\u1ee9ng kho\u00e1n<\/p>\n

Vi\u0301 du\u0323: xem x\u00e9t c\u1ed5 phi\u1ebfu c\u1ee7a m\u1ed9t c\u00f4ng ty A \u0111\u01b0\u1ee3c b\u00e1n v\u1edbi gi\u00e1 210.59 \u0111\u00f4 la, bi\u1ebfn \u0111\u1ed9ng gi\u00e1 c\u1ed5 phi\u1ebfu l\u00e0 14.04% va\u0300 l\u00e3i su\u1ea5t l\u00e0 0.2175%, \u00a0gi\u00e1 th\u1ef1c hi\u1ec7<\/span>n quy\u1ec1n l\u00e0 205 \u0111\u00f4 la v\u00e0 th\u1eddi gian h\u00ea\u0301t h\u1ea1n l\u00e0 b\u1ed1n ng\u00e0y. V\u1edbi c\u00e1c gi\u00e1 tr\u1ecb \u0111\u00e3 cho, gi\u00e1 tr\u1ecb quy\u00ea\u0300n ch\u1ecdn mua tr\u00ean li\u0301 thuy\u1ebft \u0111\u01b0\u1ee3c ti\u0301nh b\u1edfi m\u00f4 h\u00ecnh l\u00e0 -8.13.<\/p>\n

M\u00f4 h\u00ecnh Merton cho ba\u0323n bi\u00ea\u0301t \u0111i\u00ea\u0300u gi\u0300?<\/font><\/h3>\n

Ng\u01b0\u01a1\u0300i cho vay v\u00e0 c\u00e1c nh\u00e0 ph\u00e2n t\u00edch ch\u1ee9ng kho\u00e1n s\u1eed d\u1ee5ng m\u00f4 h\u00ecnh Merton \u0111\u1ec3 ph\u00e2n t\u00edch r\u1ee7i ro v\u01a1\u0303 n\u01a1\u0323 t\u00edn d\u1ee5ng c\u1ee7a m\u1ed9t c\u00f4ng ty. M\u00f4 h\u00ecnh n\u00e0y cho ph\u00e9p \u0111\u1ecbnh gi\u00e1 c\u00f4ng ty d\u1ec5 d\u00e0ng h\u01a1n v\u00e0 no\u0301 c\u0169ng gi\u00fap c\u00e1c nh\u00e0 ph\u00e2n t\u00edch x\u00e1c \u0111\u1ecbnh li\u1ec7u c\u00f4ng ty \u0111o\u0301 c\u00f3 th\u1ec3 gi\u1eef \u0111\u01b0\u1ee3c kh\u1ea3 n\u0103ng thanh to\u00e1n hay kh\u00f4ng b\u1eb1ng c\u00e1ch ph\u00e2n t\u00edch ng\u00e0y \u0111\u00e1o h\u1ea1n v\u00e0 t\u1ed5ng n\u1ee3.<\/p>\n

M\u00f4 h\u00ecnh Merton t\u00ednh to\u00e1n gi\u00e1 tr\u00ean li\u0301 thuy\u1ebft c\u1ee7a c\u00e1c quy\u00ea\u0300n ch\u1ecdn mua va\u0300 quy\u00ea\u0300n ch\u1ecdn ba\u0301n m\u00e0 kh\u00f4ng xem x\u00e9t c\u1ed5 t\u1ee9c \u0111\u01b0\u1ee3c chi tr\u1ea3 trong su\u1ed1t vo\u0300ng \u0111\u01a1\u0300i c\u1ee7a quy\u00ea\u0300n ch\u1ecdn. Tuy nhi\u00ean, m\u00f4 h\u00ecnh c\u00f3 th\u1ec3 \u0111\u01b0\u1ee3c \u0111i\u1ec1u ch\u1ec9nh \u0111\u1ec3 xem x\u00e9t c\u00e1c kho\u1ea3n c\u1ed5 t\u1ee9c n\u00e0y b\u1eb1ng c\u00e1ch t\u00ednh gi\u00e1 tr\u1ecb ng\u00e0y c\u1ed5 t\u1ee9c c\u0169 c\u1ee7a c\u00e1c c\u1ed5 phi\u1ebfu \u0111\u01b0\u01a1\u0323c g\u0103\u0301n quy\u00ea\u0300n mua ho\u0103\u0323c ba\u0301n.<\/p>\n

M\u00f4 h\u00ecnh Merton <\/b>co\u0301 c\u00e1c gi\u1ea3 \u0111\u1ecbnh c\u01a1 b\u1ea3n sau:<\/p>\n

– T\u1ea5t c\u1ea3 c\u00e1c quy\u00ea\u0300n\u00a0ch\u1ecdn l\u00e0 ch\u00e2u \u00c2u v\u00e0 ch\u1ec9 \u0111\u01b0\u1ee3c th\u1ef1c hi\u1ec7n t\u1ea1i th\u1eddi \u0111i\u1ec3m h\u1ebft h\u1ea1n.<\/p>\n

– Kh\u00f4ng c\u00f3 c\u1ed5 t\u1ee9c \u0111\u01b0\u1ee3c chi tr\u1ea3.<\/p>\n

– Di\u1ec5n bi\u1ebfn th\u1ecb tr\u01b0\u1eddng l\u00e0 kh\u00f4ng th\u1ec3 \u0111o\u00e1n tr\u01b0\u1edbc (th\u1ecb tr\u01b0\u1eddng hi\u1ec7u qu\u1ea3).<\/p>\n

– Kh\u00f4ng bao g\u1ed3m hoa h\u1ed3ng.<\/p>\n

– Bi\u1ebfn \u0111\u1ed9ng c\u1ee7a c\u1ed5 phi\u1ebfu g\u0103\u0301n quy\u00ea\u0300n cho\u0323n v\u00e0 l\u00e3i su\u1ea5t phi r\u1ee7i ro l\u00e0 kh\u00f4ng \u0111\u1ed5i.<\/p>\n

– L\u1ee3i nhu\u1eadn tr\u00ean c\u00e1c c\u1ed5 phi\u1ebfu g\u0103\u0301n quy\u00ea\u0300n cho\u0323n \u0111\u01b0\u1ee3c ph\u00e2n ph\u1ed1i th\u01b0\u1eddng xuy\u00ean.<\/p>\n

C\u00e1c bi\u1ebfn \u0111\u01b0\u1ee3c xem x\u00e9t trong c\u00f4ng th\u1ee9c bao g\u1ed3m gi\u00e1 th\u01b0\u0323c hi\u1ec7<\/span>n quy\u1ec1n ch\u1ecdn, gi\u00e1 hi\u1ec7<\/span>n ha\u0300nh cu\u0309a c\u00f4\u0309 phi\u00ea\u0301u \u0111\u01b0\u01a1\u0323c g\u0103\u0301n quy\u00ea\u0300n cho\u0323n, l\u00e3i su\u1ea5t phi r\u1ee7i ro v\u00e0 th\u1eddi gian tr\u01b0\u1edbc khi h\u1ebft h\u1ea1n.<\/p>\n

M\u00f4 h\u00ecnh Merton va\u0300\u00a0M\u00f4 h\u00ecnh Black-Scholes\u00a0<\/font><\/h3>\n

Black v\u00e0 Scholes \u0111\u00e3 ph\u00e1t hi\u1ec7<\/span>n m\u1ed9t y\u00ea\u0301u t\u00f4\u0301 quan tr\u1ecdng la\u0300 b\u1eb1ng c\u00e1ch ba\u0309o h\u00f4\u0323 quy\u00ea\u0300n ch\u1ecdn, r\u1ee7i ro h\u1ec7 th\u1ed1ng se\u0303 \u0111\u01b0\u1ee3c lo\u1ea1i b\u1ecf. Merton sau \u0111\u00f3 \u0111\u00e3 ph\u00e1t tri\u1ec3n m\u1ed9t ha\u0300m toa\u0301n ho\u0323c cho th\u1ea5y vi\u1ec7c ba\u0309o h\u00f4\u0323 quy\u00ea\u0300n ch\u1ecdn s\u1ebd lo\u1ea1i b\u1ecf m\u1ecdi r\u1ee7i ro.\u00a0<\/p>\n

Trong b\u00e0i vi\u1ebft n\u0103m 1973 c\u1ee7a h\u1ecd, “Gi\u00e1 c\u1ee7a c\u00e1c quy\u00ea\u0300n ch\u1ecdn v\u00e0 tr\u00e1ch nhi\u1ec7m ph\u00e1p l\u00ed<\/span> c\u1ee7a c\u00f4ng ty”, Black v\u00e0 Scholes \u0111a\u0303 s\u01b0\u0309 du\u0323ng b\u00e1o c\u00e1o c\u1ee7a Merton trong \u0111\u00f3 co\u0301 gi\u1ea3i th\u00edch \u0111\u1ea1o h\u00e0m c\u1ee7a c\u00f4ng th\u1ee9c toa\u0301n ho\u0323c tr\u00ean. Merton sau \u0111\u00f3 \u0111\u00e3 thay \u0111\u1ed5i t\u00ean c\u1ee7a c\u00f4ng th\u1ee9c th\u00e0nh m\u00f4 h\u00ecnh Black-Scholes<\/b>.<\/p>\n

Ca\u0301c y\u0301 chi\u0301nh<\/font><\/font><\/h3>\n

– N\u0103m 1974, Robert Merton \u0111\u00e3 gi\u01a1\u0301i thi\u1ec7<\/span>u m\u1ed9t m\u00f4 h\u00ecnh \u0111\u00e1nh gi\u00e1 r\u1ee7i ro t\u00edn d\u1ee5ng c\u1ee7a c\u00f4ng ty b\u1eb1ng c\u00e1ch m\u00f4 h\u00ecnh h\u00f3a v\u1ed1n ch\u1ee7 s\u1edf h\u1eefu c\u1ee7a c\u00f4ng ty nh\u01b0 m\u1ed9t quy\u00ea\u0300n ch\u1ecdn mua \u0111\u00f4\u0301i v\u01a1\u0301i t\u00e0i s\u1ea3n c\u1ee7a c\u00f4ng ty.<\/p>\n

– Ph\u01b0\u01a1ng ph\u00e1p n\u00e0y \u0111\u01b0\u01a1\u0323c pha\u0301t tri\u00ea\u0309n tha\u0300nh m\u00f4 h\u00ecnh \u0111\u1ecbnh gi\u00e1 t\u00f9y ch\u1ecdn Black-Scholes-Merton.<\/b><\/p>\n

– M\u00f4 h\u00ecnh Merton cung c\u1ea5p m\u1ed9t m\u1ed1i quan h\u1ec7 c\u1ea5u tr\u00fac gi\u1eefa r\u1ee7i ro v\u01a1\u0303 n\u01a1\u0323 v\u00e0 t\u00e0i s\u1ea3n c\u1ee7a m\u1ed9t c\u00f4ng ty.<\/p>\n

(Theo Investopedia<\/i>)<\/p>\n<\/p><\/div>\n","protected":false},"excerpt":{"rendered":"

\n M\u00f4 h\u00ecnh Merton (ti\u00ea\u0301ng Anh: Merton Model) l\u00e0 m\u1ed9t m\u00f4 h\u00ecnh ph\u00e2n t\u00edch \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 \u0111\u00e1nh gi\u00e1 r\u1ee7i ro t\u00edn d\u1ee5ng m\u1ed9t kho\u1ea3n n\u1ee3 c\u1ee7a c\u00f4ng ty.\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\/31456"}],"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=31456"}],"version-history":[{"count":0,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/posts\/31456\/revisions"}],"wp:attachment":[{"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/media?parent=31456"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/categories?post=31456"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/masterskills.org\/blog\/wp-json\/wp\/v2\/tags?post=31456"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}