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BS 波动率极限

Black-Scholes Price Limits as Volatility Grows

专题
Finance / 金融
难度
L4

题目详情

在 Black-Scholes-Merton 框架下,标的为不分红股票。问:当波动率 σ→∞\sigma\to\infty 时,欧式看涨期权与欧式看跌期权的价格分别趋于多少?

英文原题

In the Black-Scholes-Merton framework for a non-dividend-paying stock, what are the limiting prices of a European call and a European put option as the volatility, σ\sigma, approaches infinity?

解析

Black-Scholes 公式

C=S0N(d1)−Ke−rTN(d2),P=Ke−rTN(−d2)−S0N(−d1),C=S_0N(d_1)-Ke^{-rT}N(d_2),\quad P=Ke^{-rT}N(-d_2)-S_0N(-d_1),

其中 d2=d1−σTd_2=d_1-\sigma\sqrt{T}。

当 σ→∞\sigma\to\infty 时,d1→+∞d_1\to +\infty、d2→−∞d_2\to -\infty,因此 N(d1)→1N(d_1)\to 1,N(d2)→0N(d_2)\to 0。

于是

lim⁡σ→∞C=S0,qquadlim⁡σ→∞P=Ke−rT.\boxed{\lim_{\sigma\to\infty}C=S_0},\\qquad \boxed{\lim_{\sigma\to\infty}P=Ke^{-rT}}.

英文解析

Black-Scholes formula
C=S0N(d1)−Ke−rTN(d2),P=Ke−rTN(−d2)−S0N(−d1),C=S_0N(d_1)-Ke^{-rT}N(d_2),\quad P=Ke^{-rT}N(-d_2)-S_0N(-d_1),
where d2=d1−σTd_2=d_1-\sigma\sqrt{T}.

When σ→∞\sigma\to\infty, d1→+∞d_1\to +\infty, d2→−∞d_2\to -\infty, therefore N(d1)→1N(d_1)\to 1, N(d2)→0N(d_2)\to 0.

Thus
lim⁡σ→∞C=S0,qquadlim⁡σ→∞P=Ke−rT.\boxed{\lim_{\sigma\to\infty}C=S_0},\\qquad \boxed{\lim_{\sigma\to\infty}P=Ke^{-rT}}.