Wolters responds to Kesselaar, “LAT’s market capitalization essentially reflects the value of the sum of its oil terminals. I think the price of the purchase option is cheap. I estimated the value of this option assuming the Riga Index can move up 15% or down 20% each year and the LVL annual risk-free rate is 2%. Using the Black–Scholes–Merton model, I calculate that the normal probabilities for the Riga Index are 59% for a gain each year and 41% for a loss.”
这里 I calculate that the normal probabilities for the Riga Index are 59% for a gain each year and 41% for a loss.
这个信息要怎么理解，是无关信息吗？说明binomial和black scholes model的差异？ |
发表于 2013-8-19 14:32
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