M hnh BlackScholes

ng Nguyn Phng
dnphuong1984@gmail.com
Ngy 11 thng 11 nm 2014

M u

M hnh BlackScholes, hay cn gi l m hnh BlackScholesMerton, l mt m hnh

ton hc (mathematical model ) c ng dng nh gi mt sn phm ti chnh. y l mt
trong nhng m hnh quan trng bc nht khai sinh ra ngnh Ton Ti chnh (Mathematical
Finance)1 v l mt cuc cch mng thay i b mt ca th trng ti chnh nhng nm 1970.
M hnh ny c a ra ln u tin bi Fischer Black v Myron Scholes trong mt bi bo
c ta The Pricing of Options and Corporate Liabilities, xut bn trong tp ch Journal of
Political Economy nm 1973. Trong bi bo ny, Black v Scholes a ra mt phng trnh
vi phn ring phn (hay cn gi l phng trnh vi phn o hm ring), ngy nay c bit n
vi tn gi phng trnh BlackScholes, c lng gi ca quyn chn (option) theo thi gian.
Sau , Robert C. Merton khai trin cc tnh ton cho m hnh nh gi quyn chn (options
pricing model ) v a ra thut ng m hnh nh gi quyn chn BlackScholes. Nm 1997,
Merton v Scholes nhn gii Nobel Kinh t cho nhng nghin cu ny ca h (Black mt
trc 2 nm).
tng chnh ca m hnh ny l nhm m bo cho quyn chn bng cch mua hay bn ti
sn c s (underlying asset) theo cch m c th hn ch nhng ri ro mt cch thp nht, dng
m bo ny c gi l delta hedging 2 . Mc d m hnh ny b t nhiu nghi vn sau cuc
khng hong ti chnh 1997-1998 tuy nhin n vn c s dng rng ri trong ging dy v l
nn tng cho nhiu m hnh ti chnh khc hin i hn.

Quyn chn

Quyn chn (option) l phng tin u t cho php ngi s hu n c quyn, nhng khng
b bt buc phi bn hoc mua mt ti sn no. s hu quyn chn, ngi mua quyn phi
mt mt khon ph.
Quyn chn mua (call option): ngi s hu quyn chn mua c quyn (khng bt buc)
mua mt ti sn, ti mt mc gi nht nh, vo mt thi im nht nh.
Quyn chn bn (put option): ngi s hu mt quyn chn bn c quyn (khng bt
buc) bn mt ti sn, ti mt mc gi nht nh, vo mt thi im nht nh.
Mt s khi nim lin quan n quyn chn
1

L mt chuyn ngnh nghin cu ng dng ton hc vo trong th trng ti chnh.

i vi quyn chn, ta c mt h s delta lin quan n s thay i gi ca quyn chn, v d h s delta l
25 c ngha l nu gi ca ti sn thay i 1 n v th gi ca quyn chn thay i 25% n v. Delta hedging l
mt phng php c s dng bi nhng ngi s hu quyn chn phng nga ri ro trong vic bn quyn
chn bng cch mua hay bn cc ti sn c s trong mi quan h vi delta.
2

ng Nguyn Phng

Ti liu ni b NMTP

Ti sn c s (underlying asset) l loi ti sn s c giao trn c s mua hoc bn khi

quyn chn c thc hin.
Gi im (strike price) hay cn gi l gi thc hin, l mc gi ti ti sn trong mt
quyn chn c th c mua hoc bn.
Quyn chn kiu chu u (European options) l quyn chn c thc hin ti mt thi
im T c c nh trong tng lai, gi l thi im o hn.
Quyn chn kiu M (American options) l quyn chn c th c thc hin vo bt k
thi im no trc khi o hn. Quyn chn ny c tnh linh ng hn so vi quyn chn
kiu chu u.
Th trng v (long position) l v th khi nh u t mua ti sn, y c th l mua
mt quyn chn trn ti sn.
Th on v (short position) l v th ca nh u t khi bn mt ti sn. V th ny tri
ngc vi th trng v.

M hnh BlackScholes

M hnh BlackScholes gi s rng th trng (market) c cha t nht mt ti sn c ri ro

(risky asset), thng c gi l hng ha (stock ), v mt ti sn khng ri ro (riskless asset),
thng c gi l vn (money market, cash hay bond ).
Sau ta s thit lp mt s gi thit cho ti sn
Li sut (rate of return) ca ti sn khng ri ro (vn) l mt hng s, n gi l t l li
nhun khng ri ro (risk-free interest rate hay riskless rate).
Logarit ca gi tr ti sn tr v tc thi l mt bc ngu nhin rt nh (infinitesimal
random walk ) ca chuyn ng Brown hnh hc (geometric Brownian motion GBM),
chng ta cng s gi s rng chuyn dch (drift) v bin ng (volatility) l hng s
(nu cc gi tr ny thay i theo thi gian th ta cng vn c th iu chnh li cng thc
ca m hnh BlackScholes sao cho ph hp, min l gi tr bin ng khng theo ngu
nhin).
Khng tnh tin li chia cho c ng (dividend ).
Bn cnh ta cng c mt s gi thit cho th trng
Khng c c hi kim li do chnh lch gi (arbitrage opportunity).
C th mn hoc cho mn bt k lng vn no.
C th mua hoc bn bt k lng hng ha no, k c vic bn khng (short selling).
Cc hnh ng trn khng phi chu bt k chi ph no (frictionless market).
Vi cc gi thit nu trn, gi s rng c mt chng khon phi sinh (derivative security)3 cng
c trao i th trng ny. Chng khon ny s tr v li nhun (payoff ) mt thi im
c th trong tng lai, ph thuc vo gi tr hng ha thi im . Mc ch ca chng ta l
xc nh gi tr phi sinh (derivatives price) ny thi im hin ti, d cho chng ta khng
bit c xu hng thay i ca gi tr hng ha (stock price) nh th no trong tng lai.
3
Chng khon phi sinh l mt cng c ti chnh tha hng gi tr ca n t gi tr ca cc thc th c s
chng hn nh ti sn hay quyn chn; bn thn n khng c gi tr ni ti.

ng Nguyn Phng

Ti liu ni b NMTP

i vi trng hp c th ca quyn chn mua hay bn kiu chu u (European call/put option),
BlackScholes cho thy rng c th to ra mt v th c bo m (hedged position), bao
gm mt v th mua (long position) hng ha v v th bn (sell position) quyn chn (option),
m gi tr ca n khng ph thuc vo gi tr hng ha. Chin lc m bo ny s dn ta ti
mt phng trnh vi phn ring phn (partial differential equation) c xc nh bi gi tr
ca quyn chn, chnh l phng trnh BlackScholes. Li gii ca phng trnh ny chnh
l cng thc BlackScholes ni ting.

Chuyn ng Brown hnh hc

Chuyn ng Brown hnh hc, geometric Brownian motion (GBM) hay cn gi l exponential
Brownian motion, l mt qu trnh ngu nhin thi gian lin tc (continuous-time stochastic
process) vi logarit ca n l mt i lng thay i ngu nhin tun theo chuyn ng Brown
(Brownian motion)4 hay qu trnh Wiener (Wiener process)5 . Mt v d ng dng quan trng
ca qu trnh ngu nhin ny l phng trnh vi phn ngu nhin (stochastic differential equation
SDE) s dng trong ton ti chnh, c th trong ti liu ny chnh l m hnh BlackScholes.
Theo m hnh chuyn ng Brown, th trng ti chnh cng tun theo mt chuyn ng ngu
nhin c th c m hnh ha bi cc php thng k xc sut, trong xu hng thay i
gi tr ca mt ti sn khng c lin h g vi nhng thay i gi tr ca n trong qu kh. Tuy
nhin, mt hn ch ca m hnh ny l n cho php gi ti sn c th nhn gi tr m (bi v
cc qu o ca chuyn ng Brown c th nhn gi tr m). Do , thay v s dng trc tip
gi tr ti sn, ta s s dng logarit ca n (c th nhn gi tr m) v hnh dung rng chuyn
ng theo thi gian ca logarit gi tr ny tun theo chuyn ng Brown6 .
Mt qu trnh ngu nhin St c gi l tun theo GBM nu n tha phng trnh SDE sau
dSt = St dt + St dWt

(1)

vi Wt l qu trnh Wiener hay chuyn ng Brown, l chuyn dch (drift) v l bin

ng (volatility).
S hng u tin c dng m t s thay i tt nh (deterministic trend ), cn s hng
sau c dng m t nhng s kin khng tin on c (unpredictable events) xy ra trong
sut qu trnh chuyn ng (xem Hnh 1).

Hnh 1: Minh ha chuyn ng Brown vi cc tham s khc nhau; ng mu xanh dng c

chuyn dch () cao cn ng mu xanh lc c bin ng () cao.
4
Chuyn ng Brown (Brownian motion) l mt lp cc qu trnh ngu nhin mang tn nh thc vt hc
Robert Brown (1773-1858), ngi quan st chuyn ng i hng lin tc ca cc ht phn hoa trong nc.
5
Trong ton hc, chuyn ng Brown c m t bi qu trnh Wiener, mt qu trnh ngu nhin lin tc theo
thi gian (continuous-time stochastic process), c t theo tn ca nh ton hc Robert Wiener (1894-1964).
6
M hnh chuyn ng Brown hnh hc

ng Nguyn Phng

Ti liu ni b NMTP

Bin phn cp hai (quadratic variation)7 ca chuyn ng Brown c dng

[W ]t = dWt dWt = 2 dt

(2)

vi N (0, 1). iu ny c ngha l var() = 1 E[ 2 ](E[])2 = 1 E[ 2 ] E[dWt2 ] = dt.

Khi dt2 0, ta c
var(dWt2 ) = var( 2 dt) = (dt)2 var( 2 ) 0

(3)

dWt dWt = dt

(4)

Do

B It
o

B Ito cho thy mi quan h gia phng trnh vi phn ngu nhin cho mt s bin c lp
v phng trnh vi phn ngu nhin cho mt hm ca bin .
Nu chng ta c mt chuyn ng Brown X vi gia s dX, th gia s ca hm f (X, t) c cho
nh sau (theo khai trin chui Taylor)
df =

f
f
1 2f
dt +
dX +
dX 2 +
t
X
2 X 2

(5)

Ta c
dXt = t dt + t dWt

(6)

Thay (6) vo (5) ta c

df =

f
f
1 2f
2 2
2
2
dt +
(t dt + t dWt ) +

dt
+
2

dt
dW
+

dW
+
t
t
t
t
t
t
t
X
2 X 2

(7)

Khi dt 0, cc s hng dt2 v dt dWt tin v 0 nhanh hn so vi dWt2 . t cc s hng dt2 v

dt dWt bng 0, thay dt vo dWt2 (xem phn bin phn cp hai trong Phn 4) phng trnh
(7), ta thu c


f
f
t2 2 f
f
df =
+ t
+
dt + t dWt
(8)
2
t
X
2 X
x

Phng trnh BlackScholes

xy dng phng trnh BlackScholes (BlackScholes equation BSE), trc tin ta cn

gii thiu mt s khi nim
S l gi giao ngay (spot price) ca hng ha, c th l mt gi tr ngu nhin hay l mt
hng s.
V (S, t) l gi tr phi sinh, l mt hm ph thuc vo thi gian v gi ca hng ha.
7

nh ngha ca bin phn cp hai

[X]t = lim

kP k0

n
X

(Xtk Xtk1 )2

k=1

vi P l cc phn hoch (partition) trn ton khong thi gian [0, t].

ng Nguyn Phng

Ti liu ni b NMTP

C(S, t) l gi ca quyn chn mua (call option) v P (S, t) l gi ca quyn chn bn (put
option) theo kiu chu u.
K l gi im (strike price) ca quyn chn.
r l li nhun khng ri ro.
l chuyn dch ca S.
l bin ng, trong trng hp ny l lch chun (standard deviation) ca gi
tr hng ha tr v, c tnh bng cn ca bin phn cp hai (quadratic variation) ca
logarit gi thay i ca hng ha.
t l thi gian, 0 l thi im bt u, T l thi im kt thc (o hn).
l danh mc u t (portfolio).
N (x) l hm tch ly ca phn b chun (standard normal cumulative distribution function)
Z t
z2
1
N (x) =
e 2 dz
(9)
2
N 0 (x) l hm phn b chun ca mt xc sut (standard normal probability density
function)
x2
1
(10)
N (x) = e 2
2
T cng thc (1) ta c
dS = Sdt + SdW

(11)

vi W l mt bin ngu nhin v dW l ngun duy nht gy nn s bt nh trong lch s gi

ca hng ha.
Gi tr phi sinh V (S, T ) ti thi im o hn (maturity) c xc nh. tm gi tr ca n
thi im trc chng ta cn bit s thay i ca n theo S v t. Bng cch s dng b
Ito (xem Phn 5) ta c


V
V
1 2 2 2V
V
dV = S
+
+ S
dt + S
dW
(12)
2
S
t
2
S
S
By gi chng ta s xt mt danh mc u t c th, delta hedging, bao gm quyn chn bn
v quyn chn mua (V /S) theo t
= V +

V
S
S

(13)

Sau khong thi gian [t, t + t], li nhun hay mt mt tng cng s l
= V +

V
S
S

(14)

Thay th cc gi tr sau vo phng trnh (14)

S = St + SW


V
V
1 2 2 2V
V
V = S
+
+ S
t + S
W
2
S
t
2
S
S
5

(15)
(16)

ng Nguyn Phng

Ti liu ni b NMTP

Ta thu c


1 2 2 2V
V
t
S
=
t
2
S 2

(17)

Lu rng s hng W b trit tiu, do bt nh c loi b v danh mc u

t hin gi khng cn ri ro. Lu rng t l li nhun ca danh mc u t ny phi bng
vi t l li nhun ca cc cng c khng ri ro khc (riskless instrument), nu khng s xy ra
tnh trng kim li do chnh lch gi (xem phn 3). Gi s rng t l li nhun khng ri ro l
r trong khong thi gian [t, t + t], ta c

T ta c

rt =

(18)





V
V
1 2 2 2V

t = r V + S
t
S
t
2
S 2
S

(19)

n gin phng trnh trn ta thu c phng trnh BlackScholes

V
V
1
2V
+ 2 S 2 2 + rS
rV = 0
t
2
S
S

(20)

Cng thc BlackScholes

Cng thc BlackScholes (BlackScholes formula) l kt qu li gii ca phng trnh vi phn

BlackScholes cho quyn chn mua v bn theo kiu chu u.
Ta thit lp cc iu kin bin cho BSE
C(0, t) = 0 cho mi t.
C(S, t) S khi S .
C(S, T ) = max{S K, 0}
iu kin cui cng cho ra gi tr ca quyn chn ti thi im m quyn chn o hn. Cc
iu kin khc ng vi cc trng hp khi S tin ti 0 hoc v cc.
Li gii ca phng trnh vi phn ring phn s cho chng ta gi tr ca quyn chn ti bt
c thi im no trc E [max{S K, 0}]. gii phng trnh Black-Scholes, chng ta t
cc bin
=T t

(21)

u = Ce
  

S
1 2
x = ln
+ r
K
2

(22)
(23)

Phng trnh (20) lc ny tr thnh phng trnh khuch tn (diffusion equation)

u
1 2u
= 2 2

2 x

(24)

iu kin C(S, T ) = max{S K, 0} lc ny tr thnh

u(x, 0) = u0 (x) K(emax{x,0} 1)
6

(25)

ng Nguyn Phng

Ti liu ni b NMTP

Li gii tng qut cho phng trnh khuch tn ny s l



Z
(x y)2
1
dy
u0 [y] exp
u(x, ) =
2 2
2

(26)

Sau mt vi php bin i, ta thu c

1

u(x, ) = Kex+ 2 N (d1 ) KN (d2 )

(27)

vi


1 2
1
x+ +
d1 =
2



1
1 2
d2 =
x+
2


1 2

2

1 2

2

(28)
(29)

Thay cc gi tr u, x, t (21-23) vo (27), ta thu c cng thc BlackScholes cho gi

ca quyn chn mua
C(S, t) = N (d1 )S N (d2 )Ker(T t)
   
1
S
d1 =
+ r+
ln
K
T t
   
1
S
d2 =
ln
+ r
K
T t

= d1 T t

(30)
2

(T t)
2


2
(T t)
2

(31)
(32)
(33)

V gi ca quyn chn bn l
P (S, t) = Ker(T t) S + C(S, t)
= N (d2 )Ker(T t) N (d1 )S

(34)
(35)

Ti liu
[1] Nguyn Tin Dng, c Thi, Nhp mn Ton ti chnh, Sputnik Education (2014).
[2] http://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model
[3] http://en.wikipedia.org/wiki/Geometric_Brownian_motion
[4] http://en.wikipedia.org/wiki/Black%E2%80%93Scholes_equation
[5] http://www.vnquants.com/bai-cua-khach/
nhung-cot-moc-quan-trong-cua-tai-chinh-dinh-luong
[6] http://www.vietfin.net/option-quyen-chon/