{"id":208429,"date":"2026-10-08T18:40:00","date_gmt":"2026-10-08T09:40:00","guid":{"rendered":"https:\/\/ichizenholdings.co.jp\/media\/?p=208429"},"modified":"2026-09-25T19:37:45","modified_gmt":"2026-09-25T10:37:45","slug":"volatility-smile","status":"publish","type":"post","link":"https:\/\/ichizenholdings.co.jp\/media\/trading\/financial-engineering\/volatility-smile\/","title":{"rendered":"\u7b2c86\u56de \u30b9\u30de\u30a4\u30eb\u3001\u30b9\u30ad\u30e5\u30fc\u3001\u30bf\u30fc\u30e0\u69cb\u9020 \u2015 BS \u304c\u9593\u9055\u3063\u3066\u3044\u308b\u8a3c\u62e0"},"content":{"rendered":"\n
\n

\u4f4d\u7f6e: \u7b2c8\u90e8 \u7b2c86\u56de \/ \u524d\u63d0: \u7b2c76\u56de\u3001\u7b2c85\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u884c\u4f7f\u4fa1\u683c\u3068\u6e80\u671f\u3054\u3068\u306e\u30a4\u30f3\u30d7\u30e9\u30a4\u30c9\u30fb\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306e\u4e26\u3073\u304b\u3089\u3001\u4fa1\u683c\u306b\u7e54\u308a\u8fbc\u307e\u308c\u305f\u5206\u5e03\u306e\u5f62\u3092\u8aad\u3080\u3053\u3068\u304c\u3067\u304d\u308b<\/p>\n<\/blockquote>\n\n\n\n

0. \u7269\u8a9e \u2015 \u5e73\u5747\u7684\u306a\u9006\u7b97\u5024\u3092\u4f7f\u3046\u3068\u4f55\u304c\u8d77\u304d\u308b\u304b<\/h2>\n\n\n\n

\u524d\u56de\u3001\u30aa\u30d7\u30b7\u30e7\u30f3\u4fa1\u683c\u306e\u5f0f\u3092\u9006\u306b\u89e3\u304f\u3068\u3001\u5e02\u5834\u304c\u7e54\u308a\u8fbc\u3093\u3067\u3044\u308b\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306e\u5024\u3092\u53d6\u308a\u51fa\u305b\u308b\u3053\u3068\u3092\u898b\u307e\u3057\u305f\u3002\u3053\u306e\u7d50\u679c\u306f\u3001\u5225\u306e\u9762\u304b\u3089\u3082\u898b\u308b\u3053\u3068\u304c\u3067\u304d\u307e\u3059\u3002\u300c\u53d6\u308a\u51fa\u3057\u305f\u5024\u304c\u884c\u4f7f\u4fa1\u683c\u306b\u3088\u3063\u3066\u30d0\u30e9\u30d0\u30e9\u3060\u3063\u305f\u3089\u3001\u3069\u3046\u3059\u308b\u304b\u300d\u3068\u3044\u3046\u9762\u3067\u3059\u3002<\/p>\n\n\n\n

\u76f4\u611f\u7684\u306b\u306f\u3001\u30d0\u30e9\u30d0\u30e9\u306a\u3089\u5e73\u5747\u3092\u53d6\u308c\u3070\u3088\u3055\u305d\u3046\u306b\u601d\u3048\u307e\u3059\u30029\u3064\u306e\u884c\u4f7f\u4fa1\u683c\u3067\u9006\u7b97\u3057\u305f\u5024\u306e\u5e73\u5747\u306f\u7d0421.4%\u3067\u3059\u3002\u3053\u306e1\u3064\u306e\u5024\u3092\u4f7f\u3063\u3066\u3001\u3059\u3079\u3066\u306e\u884c\u4f7f\u4fa1\u683c\u306e\u30aa\u30d7\u30b7\u30e7\u30f3\u4fa1\u683c\u3092\u4e00\u62ec\u3067\u8a08\u7b97\u3057\u3066\u307f\u307e\u3059\u3002<\/p>\n\n\n\n

\u7d50\u679c\u306f\u3001\u5e02\u5834\u306e\u4fa1\u683c\u3068\u5408\u3044\u307e\u305b\u3093\u3002\u3042\u308b\u884c\u4f7f\u4fa1\u683c\u3067\u306f\u5e02\u5834\u3088\u308a\u7d040.24\u5186\u9ad8\u304f\u3001\u5225\u306e\u884c\u4f7f\u4fa1\u683c\u3067\u306f\u5e02\u5834\u3088\u308a\u7d040.17\u5186\u5b89\u304f\u51fa\u307e\u3059\u3002\u305f\u304b\u304c0.2\u5186\u306e\u8aa4\u5dee\u306b\u898b\u3048\u308b\u304b\u3082\u3057\u308c\u307e\u305b\u3093\u304c\u3001\u5927\u91cf\u306e\u53d6\u5f15\u3092\u6271\u3046\u30c7\u30a3\u30fc\u30e9\u30fc\u306b\u3068\u3063\u3066\u306f\u3001\u3053\u306e\u7a0b\u5ea6\u306e\u305a\u308c\u304c\u6bce\u56de\u540c\u3058\u65b9\u5411\u306b\u7a4d\u307f\u91cd\u306a\u308c\u3070\u81f4\u547d\u7684\u3067\u3059\u3002\u3057\u304b\u3082\u3053\u306e\u305a\u308c\u306b\u306f\u898f\u5247\u6027\u304c\u3042\u308a\u307e\u3059\u3002\u682a\u4fa1\u306b\u8fd1\u3044\u884c\u4f7f\u4fa1\u683c\u3067\u306f\u9ad8\u304f\u51fa\u3059\u304e\u3001\u682a\u4fa1\u304b\u3089\u9060\u3044\u884c\u4f7f\u4fa1\u683c\u3067\u306f\u5b89\u304f\u51fa\u3059\u304e\u308b\u306e\u3067\u3059\u3002<\/p>\n\n\n\n

\u306a\u305c\u5e73\u5747\u3067\u306f\u3060\u3081\u306a\u306e\u3067\u3057\u3087\u3046\u304b\u3002\u305d\u308c\u306f\u3001\u884c\u4f7f\u4fa1\u683c\u3054\u3068\u306b\u7570\u306a\u308b\u9006\u7b97\u5024\u306e\u4e26\u3073\u304c\u3001\u5e02\u5834\u304c\u898b\u3066\u3044\u308b\u300c\u5c06\u6765\u306e\u4fa1\u683c\u306e\u6563\u3089\u3070\u308a\u65b9\u300d\u3092\u305d\u306e\u307e\u307e\u6620\u3057\u3066\u3044\u308b\u304b\u3089\u3067\u3059\u3002\u4f4e\u3044\u884c\u4f7f\u4fa1\u683c\u306e\u9006\u7b97\u5024\u304c\u7279\u306b\u9ad8\u3044\u306e\u306f\u3001\u5e02\u5834\u304c\u5927\u5e45\u306a\u4e0b\u843d\u3092\u60f3\u5b9a\u3088\u308a\u8d77\u3053\u308a\u3084\u3059\u3044\u3068\u898b\u7a4d\u3082\u3063\u3066\u3044\u308b\u3053\u3068\u306e\u8868\u308c\u3067\u3059\u3002\u5e73\u5747\u3092\u53d6\u308b\u3068\u3001\u3053\u306e\u60c5\u5831\u304c\u6f70\u308c\u3066\u3057\u307e\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

\u4eca\u56de\u306e\u3082\u30461\u3064\u306e\u767a\u898b\u306f\u3001\u30aa\u30d7\u30b7\u30e7\u30f3\u4fa1\u683c\u306e\u66f2\u304c\u308a\u65b9\u304b\u3089\u3001\u5e02\u5834\u304c\u898b\u3066\u3044\u308b\u5c06\u6765\u306e\u5206\u5e03\u305d\u306e\u3082\u306e\u3092\u53d6\u308a\u51fa\u305b\u308b\u3053\u3068\u3067\u3059\u3002\u53d6\u308a\u51fa\u3057\u3066\u307f\u308b\u3068\u3001\u7406\u8ad6\u304c\u4eee\u5b9a\u3059\u308b\u5206\u5e03\u3088\u308a\u3001\u5927\u304d\u306a\u4e0b\u843d\u304c\u8d77\u3053\u308b\u9818\u57df\u306e\u78ba\u7387\u304c\u539a\u304f\u306a\u3063\u3066\u304a\u308a\u3001\u6700\u3082\u6df1\u3044\u4e0b\u843d\u306e\u9818\u57df\u3067\u306f2\u500d\u4ee5\u4e0a\u306b\u306a\u3063\u3066\u3044\u307e\u3059\u3002\u9006\u7b97\u5024\u306e\u4e26\u3073\u306f\u3001\u5f0f\u306e\u4eee\u5b9a\u304c\u73fe\u5b9f\u3068\u5408\u308f\u306a\u3044\u3053\u3068\u306e\u76f4\u63a5\u7684\u306a\u8a3c\u62e0\u3067\u3042\u308a\u3001\u540c\u6642\u306b\u3001\u5e02\u5834\u304c\u672c\u5f53\u306f\u3069\u3093\u306a\u5206\u5e03\u3092\u898b\u3066\u3044\u308b\u304b\u3092\u6559\u3048\u3066\u304f\u308c\u308b\u624b\u304c\u304b\u308a\u3067\u3082\u3042\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

1. \u52d5\u6a5f \u2015 \u9006\u7b97\u5024\u304c\u4e00\u81f4\u3057\u306a\u3044\u3068\u3044\u3046\u4e8b\u5b9f<\/h2>\n\n\n\n

\u3053\u306e\u56de\u3092\u8aad\u307f\u7d42\u3048\u308b\u3068\u3001\u884c\u4f7f\u4fa1\u683c\u3068\u6e80\u671f\u3054\u3068\u306e\u30a4\u30f3\u30d7\u30e9\u30a4\u30c9\u30fb\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306e\u4e26\u3073\u304b\u3089\u3001\u4fa1\u683c\u306b\u7e54\u308a\u8fbc\u307e\u308c\u305f\u5206\u5e03\u306e\u5f62\u3092\u8aad\u3080\u3053\u3068\u304c\u3067\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

\u7b2c85\u56de\u3067\u3001\u5e02\u5834\u306e\u30b3\u30fc\u30eb\u4fa1\u683c\u304b\u3089 BS \u516c\u5f0f\u3092\u9006\u306b\u89e3\u304f\u3053\u3068\u3067\u3001\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306e\u9006\u7b97\u5024 <\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c\u5f97\u3089\u308c\u308b\u3053\u3068\u3092\u898b\u307e\u3057\u305f\u3002BS \u516c\u5f0f\u306e\u524d\u63d0\u3067\u306f\u3001\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306f\u539f\u8cc7\u7523\u306b\u56fa\u6709\u306e\u5b9a\u6570\u3067\u3059\u3002\u3064\u307e\u308a\u884c\u4f7f\u4fa1\u683c <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u306b\u3088\u3089\u305a\u540c\u3058\u5024\u304c\u51fa\u308b\u306f\u305a\u3067\u3059<\/strong>\u3002<\/p>\n\n\n\n

\u3068\u3053\u308d\u304c\u73fe\u5b9f\u306e\u5e02\u5834\u3067\u3053\u306e\u9006\u7b97\u3092\u884c\u3046\u3068\u3001\u884c\u4f7f\u4fa1\u683c\u3054\u3068\u306b\u7570\u306a\u308b\u5024\u304c\u8fd4\u3063\u3066\u304d\u307e\u3059\u3002<\/span>K<\/span><\/span><\/span><\/span><\/eq> \u304c\u5c0f\u3055\u3044\uff08\u6df1\u3044\u30a2\u30a6\u30c8\u30fb\u30aa\u30d6\u30fb\u30b6\u30fb\u30de\u30cd\u30fc\u306e\u30d7\u30c3\u30c8\uff09\u307b\u3069\u9006\u7b97\u5024\u304c\u9ad8\u304f\u3001ATM \u4ed8\u8fd1\u3067\u6700\u3082\u4f4e\u304f\u3001<\/span>K<\/span><\/span><\/span><\/span><\/eq> \u304c\u5927\u304d\u3044\u5074\u3067\u3082\u518d\u3073\u9ad8\u304f\u306a\u308b\u3002\u3053\u306e\u5f62\u306f\u7b11\u3063\u305f\u53e3\u306e\u3088\u3046\u306b\u898b\u3048\u308b\u305f\u3081\u30b9\u30de\u30a4\u30eb<\/strong>\u3068\u547c\u3070\u308c\u307e\u3059\u3002\u682a\u5f0f\u5e02\u5834\u3067\u306f\u5de6\u5074\uff08\u4f4e <\/span>K<\/span><\/span><\/span><\/span><\/eq>\uff09\u304c\u7279\u306b\u9ad8\u3044\u975e\u5bfe\u79f0\u306a\u5f62\u304c\u591a\u304f\u3001\u30b9\u30ad\u30e5\u30fc<\/strong>\u3068\u547c\u3070\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u4e0d\u4e00\u81f4\u306f BS \u306e5\u3064\u306e\u4eee\u5b9a\u306e\u3046\u3061\u300c\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u304c\u5b9a\u6570\u300d\u3068\u3044\u3046\u4eee\u5b9a\u304c\u73fe\u5b9f\u3068\u5408\u308f\u306a\u3044\u3053\u3068\u306e\u76f4\u63a5\u7684\u306a\u8a3c\u62e0\u3067\u3059\u3002\u4eca\u56de\u306f\u3001\u3053\u306e\u4e0d\u4e00\u81f4\u304c\u4f55\u3092\u610f\u5473\u3059\u308b\u306e\u304b\u30923\u3064\u306e\u5b9a\u7406\u3067\u660e\u3089\u304b\u306b\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

\u3053\u306e\u8a18\u4e8b\u3067\u8a3c\u660e\u3059\u308b\u3053\u3068<\/h3>\n\n\n\n
    \n\n
  • THM-SM-1<\/strong> \u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u304c\u4e00\u5b9a\u306a\u3089\u3001\u9006\u7b97\u5024\u306f\u3059\u3079\u3066\u306e\u884c\u4f7f\u4fa1\u683c\u3067\u540c\u3058\u5024\u306b\u306a\u308a\u307e\u3059\u3002\u4e00\u81f4\u3057\u306a\u3044\u3053\u3068\u306f\u3001BS \u306e\u4eee\u5b9a\u304c\u73fe\u5b9f\u3068\u5408\u308f\u306a\u3044\u3053\u3068\u3092\u793a\u3057\u307e\u3059\u3002<\/li>\n\n\n
  • THM-SM-2<\/strong> \u540c\u3058\u6e80\u671f\u306e\u30b3\u30fc\u30eb\u4fa1\u683c\u3092\u884c\u4f7f\u4fa1\u683c\u306b\u3064\u3044\u30662\u56de\u5fae\u5206\u3059\u308b\u3068\u3001\u30ea\u30b9\u30af\u4e2d\u7acb\u6e2c\u5ea6\u306e\u3082\u3068\u3067\u306e\u6e80\u671f\u4fa1\u683c\u306e\u5bc6\u5ea6\u304c\u5f97\u3089\u308c\u307e\u3059\uff08Breeden-Litzenberger \u306e\u516c\u5f0f\uff09\u3002<\/li>\n\n\n
  • THM-SM-3<\/strong> \u9006\u7b97\u5024\u306e\u4e26\u3073\u306f\u4efb\u610f\u3067\u306f\u306a\u304f\u3001\u30b3\u30fc\u30eb\u4fa1\u683c\u306e\u5358\u8abf\u6027\u3068\u51f8\u6027\u304b\u3089\u5236\u7d04\u3092\u53d7\u3051\u307e\u3059\u3002\u5236\u7d04\u3092\u7834\u308b\u4e26\u3073\u306b\u306f\u88c1\u5b9a\u304c\u5b58\u5728\u3057\u307e\u3059\u3002<\/li>\n\n<\/ul>\n\n\n\n

    2. \u8a2d\u5b9a\u3068\u4eee\u5b9a \u2015 \u540c\u3058\u6e80\u671f\u3067\u884c\u4f7f\u4fa1\u683c\u3092\u4e26\u3079\u308b<\/h2>\n\n\n\n

    \u4ee5\u4e0b\u306e\u4eee\u5b9a\u306e\u3082\u3068\u3067\u8b70\u8ad6\u3092\u9032\u3081\u307e\u3059\u3002<\/p>\n\n\n\n

      \n
    • \u539f\u8cc7\u7523<\/strong>: \u914d\u5f53\u306a\u3057\u3002\u73fe\u5728\u4fa1\u683c <\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>><\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq>\u3002<\/li>\n
    • \u91d1\u5229<\/strong>: \u7121\u30ea\u30b9\u30af\u91d1\u5229 <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u306f\u5b9a\u6570\u3002\u5272\u5f15\u4fc2\u6570 <\/span>D<\/span>(<\/span>0<\/span>,<\/span><\/span>T<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\u3002<\/li>\n
    • \u30b3\u30fc\u30eb\u4fa1\u683c<\/strong>: \u540c\u3058\u6e80\u671f <\/span>T<\/span><\/span><\/span><\/span><\/eq> \u306e\u30b3\u30fc\u30eb\u4fa1\u683c <\/span>C<\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c\u3001\u884c\u4f7f\u4fa1\u683c <\/span>K<\/span><\/span>><\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u306e\u9023\u7d9a\u95a2\u6570\u3068\u3057\u3066\u89b3\u6e2c\u3067\u304d\u308b\u3002<\/li>\n
    • \u6570\u5024\u5fae\u5206<\/strong>: <\/span>C<\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306e <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u306b\u3064\u3044\u3066\u306e\u5fae\u5206\u306f\u6570\u5024\u7684\u306b\uff08\u6709\u9650\u5dee\u5206\u3067\uff09\u8a55\u4fa1\u3059\u308b\u3002<\/li>\n
    • BS \u516c\u5f0f<\/strong>: \u7b2c70\u56de\u306e\u7d50\u679c\u3092\u4f7f\u3046\u3002<\/span>C<\/span><\/span>BS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>K<\/span>,<\/span><\/span>r<\/span>,<\/span><\/span>T<\/span>,<\/span><\/span>\u03c3<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306f <\/span>\u03c3<\/span><\/span>><\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u306b\u3064\u3044\u3066\u72ed\u7fa9\u5358\u8abf\u5897\u52a0\uff08\u7b2c85\u56de\uff09\u3002<\/li>\n<\/ul>\n\n\n\n

      \u6570\u5024\u4f8b\u3067\u306f <\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span><\/eq>, <\/span>r<\/span><\/span>=<\/span><\/span><\/span><\/span>0.05<\/span><\/span><\/span><\/span><\/eq>, <\/span>T<\/span><\/span>=<\/span><\/span><\/span><\/span>0.5<\/span><\/span><\/span><\/span><\/eq> \u3092\u4f7f\u3044\u307e\u3059\u3002\u5148\u6e21\u4fa1\u683c\u306f <\/span>F<\/span><\/span>=<\/span><\/span><\/span><\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>102.5315<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002<\/p>\n\n\n\n

      3. \u4e3b\u5f35 \u2015 \u4fa1\u683c\u306e\u66f2\u304c\u308a\u65b9\u304c\u5206\u5e03\u3092\u6559\u3048\u3066\u304f\u308c\u308b<\/h2>\n\n\n\n
      \n

      \u5b9a\u7406 THM-SM-1\uff08\u30b9\u30de\u30a4\u30eb\u306e\u5b58\u5728\u306f\u4eee\u5b9a\u306e\u5426\u5b9a\uff09<\/strong>\n\u539f\u8cc7\u7523\u306e\u4fa1\u683c\u904e\u7a0b\u304c\u5e7e\u4f55\u30d6\u30e9\u30a6\u30f3\u904b\u52d5\u306b\u5f93\u3044\u3001\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3 <\/span>\u03c3<\/span><\/span><\/span><\/span><\/eq> \u304c\u5b9a\u6570\u3067\u3042\u308b\u306a\u3089\u3070\u3001\u4efb\u610f\u306e\u884c\u4f7f\u4fa1\u683c <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u306b\u5bfe\u3057\u3066\u9006\u7b97\u5024 <\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306f <\/span>\u03c3<\/span><\/span><\/span><\/span><\/eq> \u306b\u4e00\u81f4\u3059\u308b\u3002\u9006\u306b\u3001<\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u306b\u3088\u3063\u3066\u7570\u306a\u308b\u306a\u3089\u3070\u3001\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u4e00\u5b9a\u306e\u4eee\u5b9a\u306f\u73fe\u5b9f\u3068\u5408\u308f\u306a\u3044\u3002<\/p>\n<\/blockquote>\n\n\n\n

      \n

      \u5b9a\u7406 THM-SM-2\uff08\u6697\u9ed9\u306e\u5206\u5e03\u3001Breeden-Litzenberger\uff09<\/strong>\n\u30b3\u30fc\u30eb\u4fa1\u683c <\/span>C<\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u306b\u3064\u3044\u30662\u56de\u5fae\u5206\u53ef\u80fd\u3067\u3042\u308b\u3068\u304d\u3001\u30ea\u30b9\u30af\u4e2d\u7acb\u6e2c\u5ea6 <\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u306e\u6e80\u671f\u4fa1\u683c <\/span>S<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u5bc6\u5ea6\u95a2\u6570 <\/span>f<\/span>(<\/span>x<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306f<\/p>\n

      <\/span>f<\/span>(<\/span>K<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2202<\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2202<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>C<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span><\/span>(<\/span>3.1<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

      \u3067\u4e0e\u3048\u3089\u308c\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

      \n

      \u5b9a\u7406 THM-SM-3\uff08\u7121\u88c1\u5b9a\u6761\u4ef6\uff09<\/strong>\n\u7121\u88c1\u5b9a\u306e\u3082\u3068\u3067\u3001\u30b3\u30fc\u30eb\u4fa1\u683c <\/span>C<\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306f <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u306b\u3064\u3044\u3066\u72ed\u7fa9\u5358\u8abf\u6e1b\u5c11\u304b\u3064\u51f8\u3067\u306a\u3051\u308c\u3070\u306a\u3089\u306a\u3044\u3002\u9006\u7b97\u5024\u306e\u4e26\u3073\u304c\u3053\u306e\u51f8\u6027\u3092\u7834\u308b\u5834\u5408\u3001\u30d0\u30bf\u30d5\u30e9\u30a4\u30fb\u30b9\u30d7\u30ec\u30c3\u30c9\u306b\u3088\u308a\u88c1\u5b9a\u304c\u5b58\u5728\u3059\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

      \u8a3c\u660e\u3092\u8aad\u3080\uff08\u8aad\u307e\u306a\u304f\u3066\u3082\u8a18\u4e8b\u306f\u5b8c\u7d50\u3057\u307e\u3059\uff09<\/summary>\n

      4. \u8a3c\u660e \u2015 2\u56de\u5fae\u5206\u304c\u5bc6\u5ea6\u306b\u306a\u308b\u3053\u3068\u3092\u793a\u3059<\/h2>\n

      \u3053\u306e\u7bc0\u306f\u8aad\u307e\u306a\u304f\u3066\u3082\u8a18\u4e8b\u306f\u5b8c\u7d50\u3057\u307e\u3059\u3002<\/p>\n

      THM-SM-1 \u306e\u8a3c\u660e<\/h3>\n

      BS \u516c\u5f0f\u306e\u3082\u3068\u3067\u306f\u3001\u30b3\u30fc\u30eb\u4fa1\u683c\u306f<\/p>\n

      <\/span>C<\/span><\/span>BS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>N<\/span>(<\/span>d<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>K<\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>N<\/span>(<\/span>d<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3067\u4e0e\u3048\u3089\u308c\u307e\u3059\u3002\u3053\u3053\u3067 <\/span>d<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>d<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f <\/span>\u03c3<\/span><\/span><\/span><\/span><\/eq> \u3068 <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u306e\u95a2\u6570\u3067\u3059\u3002\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u304c\u5b9a\u6570 <\/span>\u03c3<\/span><\/span><\/span><\/span><\/eq> \u306a\u3089\u3070\u3001\u3053\u306e\u516c\u5f0f\u304c\u5168\u3066\u306e <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u3067\u6b63\u3057\u3044\u4fa1\u683c\u3092\u4e0e\u3048\u307e\u3059\u3002<\/p>\n

      \u5e02\u5834\u4fa1\u683c <\/span>C<\/span><\/span>market<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304b\u3089\u9006\u7b97\u5024\u3092\u6c42\u3081\u308b\u3068\u306f\u3001\u5404 <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u306b\u3064\u3044\u3066<\/p>\n

      <\/span>C<\/span><\/span>BS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>K<\/span>,<\/span><\/span>r<\/span>,<\/span><\/span>T<\/span>,<\/span><\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>))<\/span><\/span>=<\/span><\/span><\/span><\/span>C<\/span><\/span>market<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3092 <\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306b\u3064\u3044\u3066\u89e3\u304f\u3053\u3068\u3067\u3059\u3002BS \u306e\u4eee\u5b9a\u304c\u6b63\u3057\u3051\u308c\u3070 <\/span>C<\/span><\/span>market<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>C<\/span><\/span>BS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>K<\/span>,<\/span><\/span>r<\/span>,<\/span><\/span>T<\/span>,<\/span><\/span>\u03c3<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c\u5168\u3066\u306e <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u3067\u6210\u308a\u7acb\u3064\u306e\u3067\u3001<\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span><\/span><\/span><\/eq> \u304c\u5168\u3066\u306e <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u3067\u6210\u308a\u7acb\u3061\u307e\u3059\u3002<\/span>C<\/span><\/span>BS<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f <\/span>\u03c3<\/span><\/span><\/span><\/span><\/eq> \u306b\u3064\u3044\u3066\u72ed\u7fa9\u5358\u8abf\u5897\u52a0\uff08\u7b2c85\u56de\uff09\u3067\u3059\u304b\u3089\u3001\u89e3\u306f\u4e00\u610f\u3067\u3059\u3002<\/p>\n

      \u3057\u305f\u304c\u3063\u3066 <\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u306b\u3088\u3063\u3066\u7570\u306a\u308b\u306a\u3089\u3070\u3001\u5e02\u5834\u4fa1\u683c\u304c BS \u306e\u5024\u3068\u4e00\u81f4\u3057\u306a\u3044 <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u304c\u5b58\u5728\u3059\u308b\u3001\u3059\u306a\u308f\u3061 BS \u306e\u524d\u63d0\uff08\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u4e00\u5b9a\uff09\u304c\u6210\u308a\u7acb\u3063\u3066\u3044\u307e\u305b\u3093\u3002 \u220e<\/p>\n

      THM-SM-2 \u306e\u8a3c\u660e<\/h3>\n

      \u30b3\u30fc\u30eb\u4fa1\u683c\u306f\u30ea\u30b9\u30af\u4e2d\u7acb\u6e2c\u5ea6 <\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067<\/p>\n

      <\/span>C<\/span>(<\/span>K<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>E<\/span><\/span>Q<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>[<\/span>max<\/span>(<\/span>S<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>K<\/span>,<\/span><\/span>0<\/span>)]<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3068\u66f8\u3051\u307e\u3059\u3002<\/span>S<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u5bc6\u5ea6\u3092 <\/span>f<\/span>(<\/span>x<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3068\u3059\u308b\u3068\u3001\u671f\u5f85\u5024\u3092\u7a4d\u5206\u306b\u76f4\u305b\u307e\u3059\u3002<\/p>\n

      <\/span>C<\/span>(<\/span>K<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u222b<\/span><\/span>K<\/span><\/span><\/span><\/span>\u221e<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>x<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>K<\/span>)<\/span><\/span>f<\/span>(<\/span>x<\/span>)<\/span><\/span>d<\/span>x<\/span><\/span><\/span>(<\/span>4.1<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u88ab\u7a4d\u5206\u95a2\u6570\u306b\u542b\u307e\u308c\u308b <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u3092\u53d6\u308a\u51fa\u3059\u305f\u3081\u306b\u3001<\/span>K<\/span><\/span><\/span><\/span><\/eq> \u3067\u504f\u5fae\u5206\u3057\u307e\u3059\u3002<\/span>K<\/span><\/span><\/span><\/span><\/eq> \u306f\u7a4d\u5206\u306e\u4e0b\u7aef\u3068\u88ab\u7a4d\u5206\u95a2\u6570\u306e\u4e21\u65b9\u306b\u73fe\u308c\u308b\u306e\u3067\u3001\u30e9\u30a4\u30d7\u30cb\u30c3\u30c4\u306e\u516c\u5f0f\u3092\u4f7f\u3044\u307e\u3059\u3002\u4e0b\u7aef <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u3067\u306e\u88ab\u7a4d\u5206\u95a2\u6570\u306f <\/span>(<\/span>K<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>K<\/span>)<\/span>f<\/span>(<\/span>K<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u306a\u306e\u3067\u3001\u4e0b\u7aef\u306e\u5bc4\u4e0e\u306f\u6d88\u3048\u307e\u3059\u3002<\/p>\n

      <\/span><\/span><\/span><\/span>\u2202<\/span>K<\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2202<\/span>C<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u222b<\/span><\/span>K<\/span><\/span><\/span><\/span>\u221e<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2202<\/span>K<\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2202<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>x<\/span><\/span>\u2212<\/span><\/span>K<\/span>)<\/span><\/span>f<\/span>(<\/span>x<\/span>)<\/span><\/span>d<\/span>x<\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>\u2212<\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u222b<\/span><\/span>K<\/span><\/span><\/span><\/span>\u221e<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>f<\/span>(<\/span>x<\/span>)<\/span><\/span>d<\/span>x<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>4.2<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u53f3\u8fba\u306f <\/span>\u2212<\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b <\/span>S<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>><\/span><\/span><\/span><\/span>K<\/span><\/span><\/span><\/span><\/eq> \u3068\u306a\u308b\u78ba\u7387 <\/span>Q<\/span>(<\/span>S<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>><\/span><\/span><\/span><\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3092\u639b\u3051\u305f\u3082\u306e\u3067\u3059\u3002\u3082\u3046\u4e00\u5ea6 <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u3067\u5fae\u5206\u3057\u307e\u3059\u3002<\/p>\n

      <\/span><\/span><\/span><\/span>\u2202<\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2202<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>C<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>\u2212<\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2202<\/span>K<\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2202<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u222b<\/span><\/span>K<\/span><\/span><\/span><\/span>\u221e<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>f<\/span>(<\/span>x<\/span>)<\/span><\/span>d<\/span>x<\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>f<\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>4.3<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u5fae\u5206\u3068\u7a4d\u5206\u306e\u9806\u5e8f\u4ea4\u63db\u304c\u6210\u308a\u7acb\u3064\u305f\u3081\u306b\u306f <\/span>f<\/span><\/span><\/span><\/span><\/eq> \u304c\u9023\u7d9a\u3067\u3042\u308c\u3070\u5341\u5206\u3067\u3059\u3002(4.3) \u3092 <\/span>f<\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u306b\u3064\u3044\u3066\u89e3\u304f\u3068<\/p>\n

      <\/span>f<\/span>(<\/span>K<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2202<\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2202<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>C<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u304c\u5f97\u3089\u308c\u3001(3.1) \u304c\u793a\u3055\u308c\u307e\u3057\u305f\u3002 \u220e<\/p>\n

      THM-SM-3 \u306e\u8a3c\u660e\uff08\u8981\u70b9\uff09<\/h3>\n

      \u30b3\u30fc\u30eb\u4fa1\u683c\u306e\u5358\u8abf\u6027\u3068\u51f8\u6027\u306f\u7121\u88c1\u5b9a\u304b\u3089\u5f93\u3044\u307e\u3059\u3002\u8981\u70b9\u3092\u793a\u3057\u307e\u3059\u3002<\/p>\n

      \u5358\u8abf\u6027<\/strong>: <\/span>K<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><<\/span><\/span><\/span><\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u3068\u304d\u3001\u5168\u3066\u306e <\/span>x<\/span><\/span><\/span><\/span><\/eq> \u3067 <\/span>max<\/span>(<\/span>x<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>K<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>0<\/span>)<\/span><\/span>\u2265<\/span><\/span><\/span><\/span>max<\/span>(<\/span>x<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>0<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u304c\u6210\u308a\u7acb\u3061\u307e\u3059\u3002\u3088\u3063\u3066 <\/span>C<\/span>(<\/span>K<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2265<\/span><\/span><\/span><\/span>C<\/span>(<\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/eq>\u3002\u7b49\u53f7\u306f <\/span>Q<\/span>(<\/span>S<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>><\/span><\/span><\/span><\/span>K<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>><\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u306e\u3068\u304d\u6210\u308a\u7acb\u3061\u307e\u305b\u3093\u3002<\/p>\n

      \u51f8\u6027<\/strong>: \u884c\u4f7f\u4fa1\u683c <\/span>K<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><<\/span><\/span><\/span><\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><<\/span><\/span><\/span><\/span>K<\/span><\/span>3<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067 <\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>\u03bb<\/span>K<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>\u03bb<\/span>)<\/span>K<\/span><\/span>3<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\uff08<\/span>\u03bb<\/span><\/span>\u2208<\/span><\/span><\/span><\/span>(<\/span>0<\/span>,<\/span><\/span>1<\/span>)<\/span><\/span><\/span><\/span><\/eq>\uff09\u306e\u3068\u304d\u3001\u30da\u30a4\u30aa\u30d5\u306e\u51f8\u6027\u304b\u3089<\/p>\n

      <\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>max<\/span>(<\/span>x<\/span><\/span>\u2212<\/span><\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>0<\/span>)<\/span><\/span><\/span><\/span><\/span><\/span>\u2264<\/span><\/span>\u03bb<\/span><\/span>max<\/span>(<\/span>x<\/span><\/span>\u2212<\/span><\/span>K<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>0<\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span>(<\/span>1<\/span><\/span>\u2212<\/span><\/span>\u03bb<\/span>)<\/span><\/span>max<\/span>(<\/span>x<\/span><\/span>\u2212<\/span><\/span>K<\/span><\/span>3<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>,<\/span><\/span>0<\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u304c\u5168\u3066\u306e <\/span>x<\/span><\/span>\u2265<\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u3067\u6210\u308a\u7acb\u3061\u307e\u3059\u3002\u671f\u5f85\u5024\u3092\u53d6\u3063\u3066\u5272\u308a\u5f15\u304f\u3068<\/p>\n

      <\/span>C<\/span>(<\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>\u2264<\/span><\/span><\/span><\/span>\u03bb<\/span>C<\/span>(<\/span>K<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span>+<\/span><\/span><\/span><\/span>(<\/span>1<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>\u03bb<\/span>)<\/span>C<\/span>(<\/span>K<\/span><\/span>3<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span>(<\/span>4.4<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3067\u3059\u3002\u51f8\u6027\u304c\u7834\u308c\u305f\u5834\u5408\u3001\u30d0\u30bf\u30d5\u30e9\u30a4\u30fb\u30b9\u30d7\u30ec\u30c3\u30c9<\/strong>\uff08<\/span>K<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068 <\/span>K<\/span><\/span>3<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u30b3\u30fc\u30eb\u30921\u5358\u4f4d\u305a\u3064\u8cb7\u3044\u3001<\/span>K<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u30b3\u30fc\u30eb\u30922\u5358\u4f4d\u58f2\u308b\uff09\u306e\u30b3\u30b9\u30c8\u304c\u8ca0\u306b\u306a\u308a\u307e\u3059\u3002\u30d0\u30bf\u30d5\u30e9\u30a4\u306e\u30da\u30a4\u30aa\u30d5\u306f\u5e38\u306b\u975e\u8ca0\u3067\u3059\u304b\u3089\u3001\u8ca0\u306e\u30b3\u30b9\u30c8\u3067\u975e\u8ca0\u306e\u30da\u30a4\u30aa\u30d5\u3092\u5f97\u308b\u3053\u3068\u306f\u88c1\u5b9a\u3067\u3059\u3002 \u220e<\/p>\n<\/details>\n\n\n\n

      5. \u53cd\u4f8b \u2015 \u51f8\u6027\u3092\u7834\u308b\u3068\u88c1\u5b9a\u306b\u306a\u308b<\/h2>\n\n\n\n

      CEX-SM-1: \u51f8\u6027\u306e\u7834\u308c\u3068\u30d0\u30bf\u30d5\u30e9\u30a4\u88c1\u5b9a<\/h3>\n\n\n\n

      \u9006\u7b97\u5024\u306e\u4e26\u3073\u306f\u81ea\u7531\u306b\u6c7a\u3081\u3089\u308c\u308b\u308f\u3051\u3067\u306f\u3042\u308a\u307e\u305b\u3093\u3002\u30b3\u30fc\u30eb\u4fa1\u683c\u306e\u51f8\u6027\u304c\u7834\u308c\u308b\u3068\u88c1\u5b9a\u304c\u751f\u3058\u308b\u3053\u3068\u3092\u6570\u5024\u3067\u78ba\u8a8d\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      <\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>90<\/span>,<\/span><\/span>100<\/span>,<\/span><\/span>110<\/span><\/span><\/span><\/span><\/eq> \u306e3\u3064\u306e\u884c\u4f7f\u4fa1\u683c\u3092\u8003\u3048\u307e\u3059\u3002\u5e02\u5834\u6574\u5408\u7684\u306a\u9006\u7b97\u5024 <\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>90<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>0.2130<\/span><\/span><\/span><\/span><\/eq>, <\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>100<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>0.2057<\/span><\/span><\/span><\/span><\/eq>, <\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>110<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>0.2075<\/span><\/span><\/span><\/span><\/eq> \u306e\u3068\u304d\u3001\u30b3\u30fc\u30eb\u4fa1\u683c\u306f\u305d\u308c\u305e\u308c <\/span>C<\/span>(<\/span>90<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>13.7286<\/span><\/span><\/span><\/span><\/eq>, <\/span>C<\/span>(<\/span>100<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>7.0451<\/span><\/span><\/span><\/span><\/eq>, <\/span>C<\/span>(<\/span>110<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>3.1010<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u30d0\u30bf\u30d5\u30e9\u30a4\u306e\u30b3\u30b9\u30c8\u306f<\/p>\n\n\n\n

      <\/span>C<\/span>(<\/span>90<\/span>)<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>2<\/span>C<\/span>(<\/span>100<\/span>)<\/span><\/span>+<\/span><\/span><\/span><\/span>C<\/span>(<\/span>110<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>2.7394<\/span><\/span>><\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      \u3067\u3001\u51f8\u6027\u304c\u6210\u308a\u7acb\u3063\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u3053\u3053\u3067 <\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span><\/eq> \u306e\u9006\u7b97\u5024\u3092 <\/span>0.3057<\/span><\/span><\/span><\/span><\/eq>\uff08+10 \u30dd\u30a4\u30f3\u30c8\uff09\u306b\u4e0d\u5f53\u306b\u5f15\u304d\u4e0a\u3052\u305f\u3068\u3057\u307e\u3059\u3002\u3059\u308b\u3068 <\/span>C<\/span>(<\/span>100<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>9.7921<\/span><\/span><\/span><\/span><\/eq> \u306b\u81a8\u3089\u307f\u3001<\/p>\n\n\n\n

      <\/span>C<\/span>(<\/span>90<\/span>)<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>2<\/span><\/span>\u00d7<\/span><\/span><\/span><\/span>9.7921<\/span><\/span>+<\/span><\/span><\/span><\/span>C<\/span>(<\/span>110<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>\u2212<\/span>2.7545<\/span><\/span><<\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      \u3068\u306a\u308a\u307e\u3059\u3002\u30d0\u30bf\u30d5\u30e9\u30a4\u3092\u7d44\u3080\uff08<\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>90<\/span><\/span><\/span><\/span><\/eq> \u3068 <\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>110<\/span><\/span><\/span><\/span><\/eq> \u306e\u30b3\u30fc\u30eb\u3092\u8cb7\u3044\u3001<\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span><\/eq> \u306e\u30b3\u30fc\u30eb\u30922\u5358\u4f4d\u58f2\u308b\uff09\u3068\u3001\u7d44\u6210\u6642\u306b <\/span>2.7545<\/span><\/span><\/span><\/span><\/eq> \u3092\u53d7\u3051\u53d6\u308a\u3001\u6e80\u671f\u306e\u30da\u30a4\u30aa\u30d5\u306f\u5e38\u306b\u975e\u8ca0\u3067\u3059\u3002\u78ba\u5b9a\u5229\u76ca <\/span>2.7545<\/span><\/span><\/span><\/span><\/eq> \u306e\u88c1\u5b9a\u3067\u3059\u3002<\/p>\n\n\n\n

      CEX-SM-2: \u30b9\u30ad\u30e5\u30fc\u306f\u4e00\u6642\u7684\u306a\u6b6a\u307f\u3067\u306f\u306a\u3044<\/h3>\n\n\n\n

      1987\u5e74\u306e\u30d6\u30e9\u30c3\u30af\u30fb\u30de\u30f3\u30c7\u30fc\u4ee5\u524d\u306f\u3001\u9006\u7b97\u5024\u306e\u5f62\u306f\u6bd4\u8f03\u7684\u5bfe\u79f0\u3067\u3057\u305f\u3002\u3057\u304b\u30571987\u5e74\u4ee5\u964d\u3001\u682a\u5f0f\u5e02\u5834\u3067\u306f\u4f4e\u3044\u884c\u4f7f\u4fa1\u683c\u306e\u9006\u7b97\u5024\u304c\u9ad8\u3044\u884c\u4f7f\u4fa1\u683c\u3088\u308a\u6052\u5e38\u7684\u306b\u9ad8\u3044\u5f62\uff08\u30b9\u30ad\u30e5\u30fc\uff09\u304c\u89b3\u6e2c\u3055\u308c\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6570\u5024\u4f8b\u3067\u4f7f\u3063\u305f\u9006\u7b97\u5024\u3092\u898b\u308b\u3068\u3001<\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>80<\/span><\/span><\/span><\/span><\/eq> \u3067 <\/span>23.71%<\/span><\/span><\/span><\/span><\/eq>, <\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span><\/eq> \u3067 <\/span>20.57%<\/span><\/span><\/span><\/span><\/eq>, <\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>120<\/span><\/span><\/span><\/span><\/eq> \u3067 <\/span>21.69%<\/span><\/span><\/span><\/span><\/eq> \u3068\u306a\u3063\u3066\u3044\u307e\u3059\u3002\u4f4e\u3044 <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u307b\u3069\u9ad8\u3044\u3053\u306e\u5f62\u306f\u3001\u5e02\u5834\u304c\u4e0b\u843d\u30ea\u30b9\u30af\u3092\u5927\u304d\u304f\u898b\u7a4d\u3082\u3063\u3066\u3044\u308b\u3053\u3068\u3092\u53cd\u6620\u3057\u3066\u3044\u307e\u3059\u3002\u3053\u308c\u306f30\u5e74\u4ee5\u4e0a\u306b\u308f\u305f\u308a\u7d99\u7d9a\u3057\u3066\u304a\u308a\u3001\u4e00\u6642\u7684\u306a\u6b6a\u307f\u3067\u306f\u306a\u304f\u5e02\u5834\u306e\u69cb\u9020\u7684\u306a\u7279\u5fb4\u3067\u3059\u3002<\/p>\n\n\n\n

      CEX-SM-3: \u5e73\u5747\u7684\u306a\u9006\u7b97\u5024\u3067\u306f\u4fa1\u683c\u304c\u5408\u308f\u306a\u3044<\/h3>\n\n\n\n

      \u300c\u884c\u4f7f\u4fa1\u683c\u3054\u3068\u306b\u7570\u306a\u308b\u306a\u3089\u5e73\u5747\u3092\u53d6\u308c\u3070\u3088\u3044\u300d\u3068\u3044\u3046\u767a\u60f3\u306f\u6a5f\u80fd\u3057\u307e\u305b\u3093\u30029\u3064\u306e\u884c\u4f7f\u4fa1\u683c\u306e\u9006\u7b97\u5024\u306e\u5e73\u5747\u306f <\/span><\/span>\u03c3<\/span><\/span><\/span>\u02c9<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.2141<\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u3053\u306e\u5024\u3067\u5168\u884c\u4f7f\u4fa1\u683c\u306e\u30b3\u30fc\u30eb\u4fa1\u683c\u3092\u8a08\u7b97\u3059\u308b\u3068\u3001\u5e02\u5834\u4fa1\u683c\u3068\u306e\u6700\u5927\u4e56\u96e2\u306f <\/span>0.2376<\/span><\/span><\/span><\/span><\/eq> \u306b\u9054\u3057\u307e\u3059\u3002<\/p>\n\n\n\n\n\n\n\n\n\n\n\n
      <\/span>K<\/span><\/span><\/span><\/span><\/eq><\/th>\n\u5e02\u5834\u4fa1\u683c<\/th>\n\u5e73\u5747\u5024\u306b\u3088\u308b\u4fa1\u683c<\/th>\n\u8aa4\u5dee<\/th>\n<\/tr>\n<\/thead>\n
      80<\/td>\n22.4281<\/td>\n22.2582<\/td>\n+0.1700<\/td>\n<\/tr>\n
      95<\/td>\n10.0587<\/td>\n10.2071<\/td>\n$-$0.1484<\/td>\n<\/tr>\n
      105<\/td>\n4.7415<\/td>\n4.9791<\/td>\n$-$0.2376<\/td>\n<\/tr>\n
      120<\/td>\n1.3126<\/td>\n1.2642<\/td>\n+0.0484<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

      \u7279\u306b ATM \u4ed8\u8fd1\u3068\u30a2\u30a6\u30c8\u30fb\u30aa\u30d6\u30fb\u30b6\u30fb\u30de\u30cd\u30fc\u3067\u8aa4\u5dee\u304c\u5927\u304d\u304f\u3001\u30d8\u30c3\u30b8\u306e\u7cbe\u5ea6\u306b\u76f4\u7d50\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      \u51f8\u6027\u3092\u7834\u308b\u9006\u7b97\u5024\u306e\u4e26\u3073\u306b\u306f\u88c1\u5b9a\u304c\u5b58\u5728\u3057\u3001\u5e73\u5747\u5024\u3067\u4ee3\u7528\u3057\u3066\u3082\u3059\u3079\u3066\u306e\u884c\u4f7f\u4fa1\u683c\u3092\u540c\u6642\u306b\u5408\u308f\u305b\u308b\u3053\u3068\u306f\u3067\u304d\u307e\u305b\u3093\u3002<\/p>\n\n\n\n

      6. \u6570\u5024\u4f8b \u2015 \u6697\u9ed9\u306e\u5bc6\u5ea6\u3092\u6570\u5024\u3067\u53d6\u308a\u51fa\u3059<\/h2>\n\n\n\n

      <\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span><\/eq>, <\/span>r<\/span><\/span>=<\/span><\/span><\/span><\/span>0.05<\/span><\/span><\/span><\/span><\/eq>, <\/span>T<\/span><\/span>=<\/span><\/span><\/span><\/span>0.5<\/span><\/span><\/span><\/span><\/eq> \u306e\u8a2d\u5b9a\u3067\u3001\u30b3\u30fc\u30eb\u4fa1\u683c\u3092\u884c\u4f7f\u4fa1\u683c\u306e\u9023\u7d9a\u95a2\u6570\u3068\u3057\u3066\u6301\u3061\u307e\u3059\u3002\u9006\u7b97\u5024\u306f\u6b21\u306e\u901a\u308a\u3067\u3059\u3002<\/p>\n\n\n\n\n\n\n\n\n\n
      <\/span>K<\/span><\/span><\/span><\/span><\/eq><\/th>\n80<\/th>\n85<\/th>\n90<\/th>\n95<\/th>\n100<\/th>\n105<\/th>\n110<\/th>\n115<\/th>\n120<\/th>\n<\/tr>\n<\/thead>\n
      <\/span>\u03c3<\/span><\/span>imp<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq><\/td>\n23.71%<\/td>\n22.23%<\/td>\n21.30%<\/td>\n20.79%<\/td>\n20.57%<\/td>\n20.57%<\/td>\n20.75%<\/td>\n21.12%<\/td>\n21.69%<\/td>\n<\/tr>\n
      <\/span>C<\/span>(<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq><\/td>\n22.43<\/td>\n17.91<\/td>\n13.73<\/td>\n10.06<\/td>\n7.05<\/td>\n4.74<\/td>\n3.10<\/td>\n2.01<\/td>\n1.31<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

      \u4f4e\u3044 <\/span>K<\/span><\/span><\/span><\/span><\/eq> \u307b\u3069\u9006\u7b97\u5024\u304c\u9ad8\u3044\u30b9\u30ad\u30e5\u30fc\u306e\u5f62\u3092\u3057\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6697\u9ed9\u306e\u5bc6\u5ea6\u306e\u62bd\u51fa<\/h3>\n\n\n\n

      \u5b9a\u7406 THM-SM-2 \u306b\u5f93\u3044\u3001\u30b3\u30fc\u30eb\u4fa1\u683c\u306e2\u968e\u306e\u6709\u9650\u5dee\u5206\u3092\u8a08\u7b97\u3057\u3066\u5bc6\u5ea6\u3092\u53d6\u308a\u51fa\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      <\/span>f<\/span>(<\/span>K<\/span>)<\/span><\/span>\u2248<\/span><\/span><\/span><\/span>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>h<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>C<\/span>(<\/span>K<\/span><\/span>+<\/span><\/span>h<\/span>)<\/span><\/span>\u2212<\/span><\/span>2<\/span>C<\/span>(<\/span>K<\/span>)<\/span><\/span>+<\/span><\/span>C<\/span>(<\/span>K<\/span><\/span>\u2212<\/span><\/span>h<\/span>)<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      \u5bfe\u6570\u6b63\u898f\u5206\u5e03\u3068\u306e\u6bd4\u8f03<\/h3>\n\n\n\n

      BS \u306e\u4eee\u5b9a\u304c\u6b63\u3057\u3051\u308c\u3070\u3001<\/span>S<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u5206\u5e03\u306f\u5bfe\u6570\u6b63\u898f\u5206\u5e03\u3067\u3059\u3002\u62bd\u51fa\u3057\u305f\u5bc6\u5ea6\u3068\u3001ATM \u306e\u9006\u7b97\u5024 <\/span>20.57%<\/span><\/span><\/span><\/span><\/eq> \u3092\u4e00\u5b9a\u306e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u3068\u3057\u305f\u5bfe\u6570\u6b63\u898f\u5206\u5e03\u3092\u6bd4\u8f03\u3057\u307e\u3059\u3002ATM \u306e\u4fa1\u683c\u306b\u5408\u308f\u305b\u305f BS \u304c\u60f3\u5b9a\u3059\u308b\u5206\u5e03\u304c\u3053\u308c\u3067\u3059\u3002<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
      <\/span>K<\/span><\/span><\/span><\/span><\/eq><\/th>\n\u6697\u9ed9\u306e\u5bc6\u5ea6<\/th>\n\u5bfe\u6570\u6b63\u898f\u5bc6\u5ea6<\/th>\n\u6bd4\u7387<\/th>\n<\/tr>\n<\/thead>\n
      60<\/td>\n0.00062<\/td>\n0.00007<\/td>\n9.24<\/td>\n<\/tr>\n
      65<\/td>\n0.00084<\/td>\n0.00039<\/td>\n2.15<\/td>\n<\/tr>\n
      70<\/td>\n0.00141<\/td>\n0.00151<\/td>\n0.93<\/td>\n<\/tr>\n
      75<\/td>\n0.00313<\/td>\n0.00423<\/td>\n0.74<\/td>\n<\/tr>\n
      80<\/td>\n0.00707<\/td>\n0.00903<\/td>\n0.78<\/td>\n<\/tr>\n
      100<\/td>\n0.02948<\/td>\n0.02729<\/td>\n1.08<\/td>\n<\/tr>\n
      120<\/td>\n0.01095<\/td>\n0.01174<\/td>\n0.93<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

      <\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>65<\/span><\/span><\/span><\/span><\/eq> \u3067\u306f\u6697\u9ed9\u306e\u5bc6\u5ea6\u304c\u5bfe\u6570\u6b63\u898f\u5206\u5e03\u306e <\/span>2.15<\/span><\/span><\/span><\/span><\/eq> \u500d\u3001<\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>60<\/span><\/span><\/span><\/span><\/eq> \u3067\u306f <\/span>9.24<\/span><\/span><\/span><\/span><\/eq> \u500d\u3067\u3059\u3002<\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>70<\/span><\/span><\/span><\/span><\/eq> \u304b\u3089 <\/span>80<\/span><\/span><\/span><\/span><\/eq> \u3067\u306f\u3080\u3057\u308d\u8584\u304f\u3001\u305d\u306e\u5206\u304c <\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>65<\/span><\/span><\/span><\/span><\/eq> \u4ee5\u4e0b\u306e\u6df1\u3044\u4e0b\u843d\u306e\u9818\u57df\u306b\u79fb\u3063\u3066\u3044\u307e\u3059\u3002\u5de6\u306e\u88fe\uff08\u5927\u5e45\u4e0b\u843d\u306e\u9818\u57df\uff09\u304c\u5bfe\u6570\u6b63\u898f\u5206\u5e03\u3088\u308a\u660e\u78ba\u306b\u539a\u304f\u306a\u3063\u3066\u3044\u307e\u3059\u3002<\/strong> \u5e02\u5834\u306f BS \u304c\u60f3\u5b9a\u3059\u308b\u3088\u308a\u3082\u5927\u304d\u306a\u4e0b\u843d\u304c\u8d77\u3053\u308a\u3046\u308b\u3068\u898b\u7a4d\u3082\u3063\u3066\u3044\u308b\u3001\u3068\u3044\u3046\u3053\u3068\u3092\u6570\u5024\u304c\u793a\u3057\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6697\u9ed9\u306e\u5bc6\u5ea6\u3092\u884c\u4f7f\u4fa1\u683c\u3067\u7a4d\u5206\u3059\u308b\u3068 <\/span>0.993<\/span><\/span><\/span><\/span><\/eq> \u3068\u306a\u308a\u3001\u307b\u307c <\/span>1<\/span><\/span><\/span><\/span><\/eq> \u306b\u4e00\u81f4\u3057\u307e\u3059\u3002\u3053\u308c\u306f THM-SM-2 \u304c\u6b63\u3057\u304f\u6a5f\u80fd\u3057\u3066\u3044\u308b\u3053\u3068\u306e\u78ba\u8a8d\u3067\u3059\u3002<\/p>\n\n\n\n

      7. \u6b21\u56de\u3078 \u2015 \u30b5\u30fc\u30d5\u30a7\u30b9\u306b\u5b8c\u5168\u306b\u5408\u308f\u305b\u308b<\/h2>\n\n\n\n

      \u9006\u7b97\u5024\u304c\u884c\u4f7f\u4fa1\u683c\u306b\u3088\u3063\u3066\u7570\u306a\u308b\u3068\u3044\u3046\u4e8b\u5b9f\u306f\u3001BS \u306e\u4eee\u5b9a\u306e\u7834\u308c\u3092\u793a\u3057\u3066\u3044\u307e\u3059\u304c\u3001\u540c\u6642\u306b\u5e02\u5834\u304c\u898b\u3066\u3044\u308b\u300c\u771f\u306e\u5206\u5e03\u300d\u3078\u306e\u624b\u304c\u304b\u308a\u3067\u3082\u3042\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6b21\u56de\u306e\u7b2c87\u56de\u3067\u306f\u3001\u3053\u306e\u884c\u4f7f\u4fa1\u683c\u65b9\u5411\u3068\u6e80\u671f\u65b9\u5411\u306e2\u3064\u306e\u8ef8\u3092\u307e\u3068\u3081\u305f\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u30fb\u30b5\u30fc\u30d5\u30a7\u30b9<\/strong>\u306b\u5bfe\u3057\u3066\u3001\u30e2\u30c7\u30eb\u3092\u5b8c\u5168\u306b\u5408\u308f\u305b\u308b\u3068\u3069\u3046\u306a\u308b\u304b\u3092\u898b\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6b21\u306e\u30de\u30a4\u30eb\u30b9\u30c8\u30fc\u30f3\u307e\u3067\u3042\u3068 2 \u672c\u3067\u3059\u3002<\/p>\n\n\n\n

      \u3088\u304f\u3042\u308b\u8cea\u554f<\/h2>\n\n\n\n

      \u306a\u305c\u30b9\u30de\u30a4\u30eb\u3068\u547c\u3076\u306e\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u9006\u7b97\u5024\u3092\u884c\u4f7f\u4fa1\u683c\u306e\u9806\u306b\u4e26\u3079\u308b\u3068\u3001\u4e21\u7aef\u304c\u9ad8\u304f\u4e2d\u592e\u304c\u4f4e\u3044\u5f62\u306b\u306a\u308b\u304b\u3089\u3067\u3059\u3002\u682a\u5f0f\u3067\u306f\u7247\u5074\u304c\u9ad8\u3044\u5f62\u304c\u591a\u304f\u3001\u30b9\u30ad\u30e5\u30fc\u3068\u547c\u3070\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

      \u5e02\u5834\u304c\u9593\u9055\u3063\u3066\u3044\u308b\u306e\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u9055\u3044\u307e\u3059\u3002\u30e2\u30c7\u30eb\u306e\u4eee\u5b9a\u304c\u5408\u3063\u3066\u3044\u306a\u3044\u3060\u3051\u3067\u3059\u3002\u5e02\u5834\u4fa1\u683c\u306e\u307b\u3046\u304c\u73fe\u5b9f\u3092\u53cd\u6620\u3057\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6697\u9ed9\u306e\u5bc6\u5ea6\u3068\u306f\u4f55\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u5e02\u5834\u4fa1\u683c\u304b\u3089\u9006\u7b97\u3057\u305f\u3001\u6e80\u671f\u306e\u4fa1\u683c\u306e\u5206\u5e03\u3067\u3059\u3002\u6b63\u898f\u5206\u5e03\u3088\u308a\u4e0b\u843d\u5074\u306e\u88fe\u304c\u539a\u304f\u306a\u3063\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u53c2\u8003\u6587\u732e<\/h2>\n\n\n\n
        \n\n
      1. Breeden D. T. and Litzenberger R. H.\u3001Prices of State-Contingent Claims Implicit in Option Prices\u3001The Journal of Business\u30011978\u5e74\u3001DOI 10.1086\/296025<\/li>\n\n\n
      2. Gatheral J.\u3001The Volatility Surface\u3001Wiley\u30012006\u5e74<\/li>\n\n<\/ol>\n\n\n\n
        \n\n\n\n

        \u6570\u5024\u4f8b\u306f compute.py<\/code> \u306b\u3088\u308a\u6d6e\u52d5\u5c0f\u6570\u70b9\u6f14\u7b97\u3067\u8a08\u7b97\u3002\u4e71\u6570\u306f\u4f7f\u7528\u3057\u3066\u3044\u306a\u3044\u3002<\/em><\/p>\n\n","protected":false},"excerpt":{"rendered":"

        \u4f4d\u7f6e: \u7b2c8\u90e8 \u7b2c86\u56de \/ \u524d\u63d0: \u7b2c76\u56de\u3001\u7b2c85\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u884c\u4f7f\u4fa1\u683c\u3068\u6e80\u671f\u3054\u3068\u306e\u30a4\u30f3\u30d7\u30e9\u30a4\u30c9\u30fb\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u306e\u4e26\u3073\u304b\u3089\u3001\u4fa1\u683c\u306b\u7e54\u308a\u8fbc\u307e\u308c\u305f\u5206\u5e03\u306e\u5f62\u3092\u8aad\u3080\u3053\u3068\u304c\u3067\u304d\u308b […]<\/p>\n","protected":false},"author":1,"featured_media":209186,"comment_status":"closed","ping_status":"","sticky":false,"template":"","format":"standard","meta":{"swell_btn_cv_data":"","footnotes":""},"categories":[159],"tags":[168],"class_list":["post-208429","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-financial-engineering","tag-fe-part8-volatility"],"aioseo_notices":[],"aioseo_head":"\n\t\t\n\t\n\t\n\t\n\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t