Scatter Simulation of Black-Scholes Model of the European Call Options Price to the Model Variables Based on Finance TBT and Going Out Strategy

摘要

The aim of the paper is to simulate a winning Nobel Prize formula: Black-Scholes model, the instrument of scatter simulation is Eviews 3.1, the paper simulate the following variables in the Black-Scholes Model: the European Call Options Price Simulation to The Exercise Price X; the European Call Options Price Simulation to The Risk-Free Rate r_C; the European Call Options Price Simulation to The Standard Deviation s; the European Call Options Price Simulation to The Time to Expiration T. The paper attests the following characters by simulation: (1) let X increase then CP decreases; (2) let r_c increase then CP increases; (3) let s decrease, then CP decreases, at the same time, the CP increase when X decrease; (4) let T decrease, then CP decreases.