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Black & Scholes - Su cálculo

Black & Scholes - Su cálculo

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Published by Mauro Blanco
En el archivo se presenta la fórmula de Black & Scholes y un ejemplo donde facilmente se podrá aprender a calcularlo por uno mismo.
En el archivo se presenta la fórmula de Black & Scholes y un ejemplo donde facilmente se podrá aprender a calcularlo por uno mismo.

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Published by: Mauro Blanco on May 15, 2009
Copyright:Attribution Non-commercial

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06/16/2009

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Al cierre 13/04/09
Especie
Hora Último Variación % Apertura
16:20
16.9
30 13 1516:59
4.4
135.29 1.87 312:10
18
0 18 1816:52
13
31.31 9.9 11.416:59
10.39
52.79 6.8 8.216:59
7
79.49 3.9 517:00
1.5
265.85 0.41 0.5917:01
0.32
220 0.1 0.1816:49
0.07
44 0.05 0.0415:21
0.01
-75 0.04 0.0116:03
20.98
19.89 17.5 20.9816:42
14
17.65 11.9 13.517:00
10.56
22.79 8.6 9.616:59
8
19.4 6.7 7.916:59
6.2
34.78 4.6 5.516:57
4.4
33.33 3.3 3.717:01
2.91
45.5 2 2.216:45
1.85
60.87 1.15 1.5116:28
1.15
-- -- 114:39
12.8
34.74 9.5 12.816:49
10.5
29.63 8.1 8.9516:50
7.8
39.29 5.6 6.216:59
5
38.89 3.6 4.216:58
3.25
41.3 2.3 2.616:58
1.81
57.39 1.15 1.416:57
0.95
46.15 0.65 0.816:57
0.1
-87.34 0.79 0.116:59
0.02
-25 0.02 0.0215:07
0.02
-80 0.1 0.0216:56
0.7
-69.57 2.3 0.5516:14
11
-35.29 17 11.2516:50
0.2
0 0.2 0.216:50
0.5
-37.5 0.8 0.516:58
1.6
-20 2 1.5416:49
2.4
-11.11 2.7 2.516:43
0.2
-82.61 1.15 0.2
Fuente: BCBA
 
Máximo Mínimo
16.9 15 32 49,860 44.86 2.95 3,586 1,385,820 45118 18 2 3,600 113.5 11.4 514 643,710 4610.6 8.2 347 330,937 607.5 5 2,443 1,538,269 2781.87 0.59 8,061 1,032,539 6600.39 0.12 2,788 76,909 1480.08 0.04 134 837 120.01 0.01 14 14 220.98 20.98 1 2,098 114 13.5 3 4,100 311.5 9.6 109 110,728 338.5 7.7 71 57,855 266.45 5.5 192 111,455 324.5 3.7 412 170,882 853.05 2.2 302 82,414 701.85 1.51 133 23,055 241.15 1 72 7,815 412.8 12.8 3 3,840 110.5 8.95 38 35,740 117.8 6.15 102 74,240 395.3 4.2 430 207,120 653.3 2.6 1,231 376,199 1501.9 1.4 1,360 234,900 1181 0.8 595 55,565 450.1 0.05 150 1,402 180.02 0.01 130 222 100.02 0.02 28 56 10.7 0.55 98 5,931 1711.25 11 20 22,250 20.2 0.2 10 200 10.5 0.5 28 1,400 51.7 1.4 227 34,274 222.5 2.2 58 14,135 140.2 0.2 15 300 1
VolumenNominalMontoNegociadoCantidadLotes
 
Calculo de Volatilidad HistóricaEspecieFechaCierre
TS2/10/200938.3
00.08
TS2/11/200938.90.020TS2/12/200937.7-0.030TS2/13/200939.40.040TS2/16/200939-0.010TS2/17/200936.2-0.070.01TS2/18/200935.75-0.010TS2/19/200936.40.020TS2/20/200935.65-0.020TS2/23/200933.3-0.070.01TS2/24/2009350.050TS2/25/200933.2-0.050TS2/26/200932.05-0.040TS2/27/200932.850.020TS3/2/200929.1-0.120.02TS3/3/200928.65-0.020TS3/4/200930.550.060TS3/5/200929-0.050TS3/6/200929.750.030TS3/9/200929.700TS3/10/2009320.070.01TS3/11/200932.20.010TS3/12/200933.40.040TS3/13/200934.450.030TS3/16/200934.15-0.010TS3/17/200934.90.020TS3/18/200935.80.030TS3/19/200937.150.040TS3/20/200936.9-0.010TS3/23/200939.60.070TS3/25/200939.80.010TS3/26/2009410.030TS3/27/200940.4-0.010TS3/30/200938.5-0.050TS3/31/200939.050.010TS4/1/200939.70.020TS4/3/200942.750.070TS4/6/200942.35-0.010TS4/7/200940.45-0.050TS4/8/200941.10.020TS4/13/200944.20.070
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