                                                    685

 $20).  ,       
 .

5     . . 109115 : John .  and Mark Rubinstein, Options
Markets (Englewood Cliffs, Nj: Prentice Hall, 1985).

6  ,           .
 ,     100%  . ,  -
   ,       
.

7          ,   
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      .

8    -   ,   .    
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 .

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10 $ 1   $ 1 ^   ,      R. ŗ
   ,    2,71828.  
.   . 5.

"  (20.5)  (20.6)  ,   (20.)  (20.36),  -
     .

12 Fischer Black and Myron Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political
Economy, 81, no. 3 (May, June 1973), pp. 637654.  .: Fischer Black How We Came Up with the
Option Formula, Journal of Portfolio Management, 15, no.2. (Winter, 1989), pp. 4  8,  How to Use the
Holes in Black-Scholes, Journal of Applied Corporate Finance, 1, no.4. (Winter 1989), pp. 6773.

13 .: Robert . Merton, Theory of Rational Option Pricing, Bell Journal of Economics and Management
Science, 4, no. 1 (Spring 1973), pp. 141-183.

14       ,     .

15  20.2        .  -
       .

16  ,      ,    -
,    ,   ,     
     .       -
.       .

17    ,     365    -
  250,      250  . .: Mark Kritzman About Estimating Volatility:

Pan I, Financial Analysts Journal, 47, no. 4 (July/August 1991), pp. 22 - 25; About Estimating Volatility:

Part II, Financial Analysts Journal, 47, no. 5 (September/October 1991), pp. 10-11.   sc
   ,   ,    ,   -
 , .  : Mark . Garman  Michael J. Klass On the Estimation of Security Price
Volatilities from Historical Data, Journal of Business, 53. no 1 (January 1980), pp. 67-78.

18  (20.10)       R,     -
  . .: Menachem Brenner and Dan Galai, Implied Interest Rates, Journal
of Business, 59, no 3 (July 1986), pp. 493-507.

19      .   ,    
 . : Menachem Brenner and Marti Subrahmanyam, A Simple Formula to Compute the Implied
Standard Deviation, Financial Analysts Journal, 44, no. 5 (September/October 1988), pp. 80 - 83.

20         
    ,    .      -
  ,         ,  
          .