9
Excel . .
:
. .
. , . , . m St =S0em t, S0 .
: St dSt/dt=mSt ,, dSt=mSt dt. St: t = 0 S0.
, . . - , (). .
St, . 1965 .
dSt= mSt dt+sStdwt
. m , wt ( , " "), s2 . s ( Volatility ). .
, - .
. .
St St-h= St-h (mh+ sÖh ).
, h .
mh+ sÖh = f(mh, sÖh )
mh sÖh.
St = St-h (1+ f (mh, sÖh))
1.
m = 0.14, s= 0.20. h = 0.01, .. (3,65 ). S0 =20. 12 St t m
0 =20.
S .
2.
1 St.
St | 51,5 | 50,5 | 48,5 | 49,5 | 50,5 |
, :
|
|
(LN(2:11/1:10))* (52)}.
.
3. (. 1). , .
20 1/8 | 19 7/8 | 20 1/2 | 20 1/4 | 20 7/8 | ||
20 7/8 | 20 7/8 | 20 3/4 | 20 3/4 | 21 1/8 | 20 7/8 | |
20 7/8 | 21 1/4 | 21 3/8 | 21 3/8 | 21 1/4 | 21 3/4 |
. 1
, 250 , .
.