664                                                    20

20.7.6        

          ,   -
      .     
. = V^       ^     
 (26.10)   (^. ,      -
    .     -
 .         
       ( ) 
(implicit or implied volatility}1'.

 .      6%,    -
       $40   $4,    
$36.          (20.10)  
,     ,  $4.     -
   0,40 (.. 40%)       (20.10),
..     .

  ,          -
. ,          
     ,     ,   
.      ,   , 
           
    ,    .

           -
    $40,        -
 $35  $45.          
        ",   
           -
 $50.

          
       .     
         $40,   
       $40.  -
 <      ,     
           $40.

         -
       . ,      -
        ,   
  .       
    (20.15),     
     .     , 
         
  ,       -
19.   ,       -
      ,     
.

20.7.7      

         
        -
   $1.      -
    N(ds)   (20.10).    . 20.6 (,
      ,    