File:BlackScholes-Callpreise.png
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[edit]DescriptionBlackScholes-Callpreise.png |
Deutsch: Preise für unterschiedliche Zeitpunkte für verschiedene Spotpreise eines Calls im Black-Scholes Modell |
Date | 24 June 2005 (original upload date) |
Source |
selbst erstellt mit GNU R. R-Quelltext: bsCall <-function (S,t,T=1,K=100,sigma=0.20,r=0.03) { d1=1/(sigma*sqrt(T-t))*(log(S/K)+(r+sigma^2/2)*(T-t)) d2=d1-sigma*sqrt(T-t) return(S*pnorm(d1)-exp(-r*(T-t))*K*pnorm(d2)) } cols=heat.colors(4) s=seq(80,120,length=500) png(filename = "BlackScholes-Callpreise.png", width=1200, height=900, pointsize = 12) par(bg="lightgrey") plot(s,bsCall(S=s,t=0),type="n",ylim=c(0,25),xlab="S_t",ylab="Preis des Calls", main="Black-Scholes Preise eines europäischer Call-Option",cex.main=1.8) lines(s,bsCall(S=s,t=0),type="l",lwd=4,col=cols[4]) lines(s,bsCall(S=s,t=0.25),type="l",lwd=4,col=cols[3]) lines(s,bsCall(S=s,t=.5),type="l",lwd=4,col=cols[2]) lines(c(80,100,120),c(0,0,20),col=cols[1],lwd=3) legend(x=80,y=25,legend=c("t=T=1","t=0.5","t=0.25","t=0"),col=cols,lwd=3) dev.off() |
Author | Thomas Steiner |
Licensing
[edit]Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.2 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts. A copy of the license is included in the section entitled GNU Free Documentation License.http://www.gnu.org/copyleft/fdl.htmlGFDLGNU Free Documentation Licensetruetrue |
This file is licensed under the Creative Commons Attribution-Share Alike 3.0 Unported license. | ||
Attribution: Thire | ||
| ||
This licensing tag was added to this file as part of the GFDL licensing update.http://creativecommons.org/licenses/by-sa/3.0/CC BY-SA 3.0Creative Commons Attribution-Share Alike 3.0truetrue |
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current | 04:35, 10 February 2014 | 1,200 × 900 (11 KB) | OgreBot (talk | contribs) | (BOT): Reverting to most recent version before archival | |
04:35, 10 February 2014 | 1,200 × 900 (11 KB) | OgreBot (talk | contribs) | (BOT): Uploading old version of file from de.wikipedia; originally uploaded on 2005-06-24 17:33:45 by Thire | ||
04:35, 10 February 2014 | 1,200 × 900 (10 KB) | OgreBot (talk | contribs) | (BOT): Uploading old version of file from de.wikipedia; originally uploaded on 2005-06-24 11:28:35 by Thire | ||
22:41, 9 February 2014 | 1,200 × 900 (11 KB) | File Upload Bot (Magnus Manske) (talk | contribs) | Transfered from de.wikipedia by User:wdwdbot using CommonsHelper |
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