{"id":208580,"date":"2026-10-06T18:50:00","date_gmt":"2026-10-06T09:50:00","guid":{"rendered":"https:\/\/ichizenholdings.co.jp\/media\/?p=208580"},"modified":"2026-09-25T19:37:30","modified_gmt":"2026-09-25T10:37:30","slug":"futures-options","status":"publish","type":"post","link":"https:\/\/ichizenholdings.co.jp\/media\/trading\/financial-engineering\/futures-options\/","title":{"rendered":"\u7b2c73\u56de \u5148\u7269\u30aa\u30d7\u30b7\u30e7\u30f3 \u2015 Black-76 \u3068\u3001\u5148\u7269\u3068\u5148\u6e21\u306e\u9055\u3044"},"content":{"rendered":"\n
\n

\u4f4d\u7f6e: \u7b2c7\u90e8 \u7b2c73\u56de \/ \u524d\u63d0: \u7b2c16\u56de\u3001\u7b2c64\u56de\u3001\u7b2c71\u56de\u3001\u7b2c72\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u5148\u7269\u3092\u539f\u8cc7\u7523\u3068\u3059\u308b\u30aa\u30d7\u30b7\u30e7\u30f3\u3092 Black-76 \u3067\u8a08\u7b97\u3057\u3001\u5148\u7269\u3068\u5148\u6e21\u306e\u9055\u3044\u304c\u52b9\u304f\u5834\u9762\u3092\u8aac\u660e\u3067\u304d\u308b<\/p>\n<\/blockquote>\n\n\n\n

0. \u7269\u8a9e \u2015 \u5024\u6d17\u3044\u306f\u640d\u76ca\u306b\u5f71\u97ff\u3057\u306a\u3044\u306e\u304b<\/h2>\n\n\n\n

\u65b0\u4eba\u30c8\u30ec\u30fc\u30c0\u30fc\u304c\u3001\u5148\u7269\u306e\u30aa\u30d7\u30b7\u30e7\u30f3\u3092\u5024\u4ed8\u3051\u3059\u308b\u3088\u3046\u983c\u307e\u308c\u307e\u3057\u305f\u3002\u5148\u7269\u306e\u4fa1\u683c\u306f100\u3002\u884c\u4f7f\u4fa1\u683c\u3082100\u3002\u6e80\u671f\u307e\u30671\u5e74\u3002\u300c\u5148\u7269\u306e\u5024\u6bb5\u3092\u305d\u306e\u307e\u307e\u539f\u8cc7\u7523\u3068\u3057\u3066\u3001\u3044\u3064\u3082\u306e\u5f0f\u306b\u5165\u308c\u308c\u3070\u3044\u3044\u3060\u308d\u3046\u300d\u3002\u8a08\u7b97\u7d50\u679c\u306f10.45\u3067\u3057\u305f\u3002<\/p>\n\n\n\n

\u3068\u3053\u308d\u304c\u3001\u5148\u8f29\u306b\u898b\u305b\u308b\u3068\u5373\u5ea7\u306b\u5374\u4e0b\u3055\u308c\u307e\u3059\u3002\u300c\u6b63\u3057\u304f\u306f7.58\u3060\u30024\u5272\u8fd1\u304f\u904e\u5927\u8a55\u4fa1\u3057\u3066\u3044\u308b\u300d\u3002\u65b0\u4eba\u306f\u9a5a\u304d\u307e\u3059\u3002\u5148\u7269\u306e\u4fa1\u683c\u306f100\u3067\u3001\u682a\u3068\u540c\u3058\u6570\u5b57\u306a\u306e\u306b\u3001\u306a\u305c\u7b54\u3048\u304c\u5909\u308f\u308b\u306e\u304b\u3002<\/p>\n\n\n\n

\u7406\u7531\u306f\u3001\u5148\u7269\u3092\u6301\u3064\u306e\u306b\u304a\u91d1\u304c\u8981\u3089\u306a\u3044\u3053\u3068\u3067\u3059\u3002\u682a\u3092\u8cb7\u3046\u306a\u3089100\u3092\u6255\u3063\u3066\u624b\u5143\u304b\u3089\u73fe\u91d1\u304c\u51fa\u3066\u3044\u304d\u307e\u3059\u304c\u3001\u5148\u7269\u306f\u30bc\u30ed\u5186\u3067\u5efa\u3066\u3089\u308c\u307e\u3059\u3002\u3044\u3064\u3082\u306e\u5f0f\u306f\u300c100\u3092\u6255\u3063\u3066\u682a\u3092\u624b\u306b\u5165\u308c\u305f\u300d\u3068\u3044\u3046\u524d\u63d0\u3067\u7d44\u307e\u308c\u3066\u3044\u308b\u306e\u3067\u3001\u8cc7\u91d1\u3092\u5bdd\u304b\u305b\u3066\u3044\u306a\u3044\u5148\u7269\u306b\u4f7f\u3046\u3068\u3001\u5bdd\u304b\u305b\u3066\u3044\u306a\u3044\u5206\u306e\u5229\u606f\u307e\u3067\u4fa1\u683c\u306b\u4e57\u3063\u3066\u3057\u307e\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

\u3082\u3046\u4e00\u3064\u3001\u65b0\u4eba\u304c\u898b\u843d\u3068\u3057\u3066\u3044\u305f\u306e\u306f\u300c\u5024\u6d17\u3044\u300d\u3067\u3059\u3002\u5148\u7269\u3092\u6301\u3063\u3066\u3044\u308b\u3068\u3001\u6bce\u65e5\u306e\u5024\u52d5\u304d\u304c\u8a3c\u62e0\u91d1\u53e3\u5ea7\u306b\u5165\u3063\u305f\u308a\u51fa\u305f\u308a\u3057\u307e\u3059\u3002\u5165\u3063\u3066\u304d\u305f\u304a\u91d1\u306b\u306f\u5229\u606f\u304c\u4ed8\u304d\u3001\u51fa\u3066\u3044\u3063\u305f\u304a\u91d1\u306b\u3082\u5229\u606f\u304c\u639b\u304b\u308a\u307e\u3059\u3002\u300c\u5dee\u91d1\u6c7a\u6e08\u306f\u6e80\u671f\u306e\u640d\u76ca\u306b\u306f\u95a2\u4fc2\u306a\u3044\u3060\u308d\u3046\u300d\u3068\u65b0\u4eba\u306f\u601d\u3063\u3066\u3044\u307e\u3057\u305f\u304c\u3001\u5b9f\u969b\u306b1\u4e07\u56de\u306e\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u3092\u56de\u3059\u3068\u3001\u640d\u76ca\u306e\u3070\u3089\u3064\u304d\u306f\u5229\u606f\u52b9\u679c\u306a\u3057\u3067\u7d0420.09\u3001\u3042\u308a\u3067\u7d0420.60\u3068\u3001\u76ee\u306b\u898b\u3048\u308b\u5dee\u304c\u51fa\u307e\u3057\u305f\u3002<\/p>\n\n\n\n

\u3053\u306e\u56de\u3067\u306f\u3001\u5148\u7269\u3092\u539f\u8cc7\u7523\u3068\u3059\u308b\u30aa\u30d7\u30b7\u30e7\u30f3\u306b\u6b63\u3057\u3044\u5f0f\u3092\u5c0e\u304d\u307e\u3059\u3002\u5148\u7269\u306b\u306f\u300c\u5024\u6bb5\u304c\u5e73\u5747\u7684\u306b\u5909\u5316\u3057\u306a\u3044\u300d\u3068\u3044\u3046\u6027\u8cea\u304c\u3042\u308a\u3001\u305d\u308c\u3092\u4f7f\u3048\u3070\u3001\u3044\u3064\u3082\u306e\u5f0f\u304b\u3089\u91d1\u5229\u306e\u9805\u3092\u6d88\u3059\u3060\u3051\u3067\u6b63\u3057\u3044\u7b54\u3048\u304c\u51fa\u307e\u3059\u3002\u3055\u3089\u306b\u3001\u5148\u7269\u3068\u4f3c\u3066\u3044\u308b\u3088\u3046\u3067\u5fae\u5999\u306b\u9055\u3046\u300c\u5148\u6e21\u300d\u3068\u306e\u95a2\u4fc2\u3082\u6574\u7406\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

1. \u52d5\u6a5f \u2015 \u5148\u7269\u3092\u539f\u8cc7\u7523\u306b\u3059\u308b\u3068\u4f55\u304c\u5909\u308f\u308b\u304b<\/h2>\n\n\n\n

\u3053\u306e\u56de\u3092\u8aad\u307f\u7d42\u3048\u308b\u3068\u3001\u5148\u7269\u3092\u539f\u8cc7\u7523\u3068\u3059\u308b\u30aa\u30d7\u30b7\u30e7\u30f3\u3092 Black-76 \u3067\u8a08\u7b97\u3057\u3001\u5148\u7269\u3068\u5148\u6e21\u306e\u9055\u3044\u304c\u52b9\u304f\u5834\u9762\u3092\u8aac\u660e\u3067\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

\u7b2c71\u56de\u3067\u914d\u5f53\u5229\u56de\u308a\u3092\u5c0e\u5165\u3057\u3001\u539f\u8cc7\u7523\u3092\u5272\u308a\u5f15\u3051\u3070\u5f0f\u304c\u540c\u3058\u5f62\u306b\u306a\u308b\u3053\u3068\u3092\u898b\u307e\u3057\u305f\u3002\u5148\u7269\u306f\u914d\u5f53\u3092\u51fa\u3057\u307e\u305b\u3093\u304c\u3001\u305d\u3082\u305d\u3082\u4fdd\u6709\u3059\u308b\u306e\u306b\u8cc7\u91d1\u304c\u8981\u308a\u307e\u305b\u3093\u3002\u3053\u306e\u300c\u4fdd\u6709\u30b3\u30b9\u30c8\u30bc\u30ed\u300d\u306e\u6027\u8cea\u304c\u3001\u914d\u5f53\u5229\u56de\u308a\u3092\u91d1\u5229\u306b\u7b49\u3057\u304f\u7f6e\u304f\u3001\u3068\u3044\u3046\u4e00\u898b\u5947\u5999\u306a\u51e6\u65b9\u7b8b\u306e\u6839\u62e0\u3067\u3059\u3002<\/p>\n\n\n\n

\u4eca\u56de\u306f Black-76 \u306e\u5f0f<\/strong>\u3092\u5c0e\u304d\u3001\u5148\u7269\u4fa1\u683c\u304c\u30ea\u30b9\u30af\u4e2d\u7acb\u6e2c\u5ea6\u306e\u3082\u3068\u3067\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u3067\u3042\u308b\u3053\u3068\u3092\u793a\u3057\u307e\u3059\u3002\u3055\u3089\u306b\u3001\u5148\u7269\u3068\u5148\u6e21\u304c\u4e00\u81f4\u3059\u308b\u6761\u4ef6\u3068\u4e00\u81f4\u3057\u306a\u3044\u6761\u4ef6\u3092\u660e\u78ba\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-FUT-1<\/strong> \u5148\u7269\u4fa1\u683c\u3092\u539f\u8cc7\u7523\u3068\u3059\u308b\u30aa\u30d7\u30b7\u30e7\u30f3\u306e\u4fa1\u683c\u306f\u3001\u914d\u5f53\u5229\u56de\u308a\u3092\u91d1\u5229\u306b\u7b49\u3057\u304f\u7f6e\u3044\u305f\u5834\u5408\u306e\u5f0f\uff08Black-76\uff09\u306b\u4e00\u81f4\u3057\u307e\u3059\u3002<\/li>\n\n\n
  • THM-FUT-2<\/strong> \u30ea\u30b9\u30af\u4e2d\u7acb\u6e2c\u5ea6\u306e\u3082\u3068\u3067\u5148\u7269\u4fa1\u683c\u306f\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u3067\u3059\u3002\u5148\u6e21\u4fa1\u683c\u3068\u306f\u5024\u6d17\u3044\u306e\u6709\u7121\u3067\u7570\u306a\u308a\u307e\u3059\u3002<\/li>\n\n\n
  • THM-FUT-3<\/strong> \u91d1\u5229\u304c\u78ba\u5b9a\u3057\u3066\u3044\u308b\u3068\u304d\u5148\u7269\u4fa1\u683c\u3068\u5148\u6e21\u4fa1\u683c\u306f\u4e00\u81f4\u3057\u307e\u3059\u3002\u91d1\u5229\u304c\u78ba\u7387\u7684\u306a\u3068\u304d\u4e21\u8005\u306f\u305a\u308c\u307e\u3059\u3002<\/li>\n\n<\/ul>\n\n\n\n

    2. \u8a2d\u5b9a\u3068\u4eee\u5b9a \u2015 \u5148\u7269\u4fa1\u683c\u3068\u5024\u6d17\u3044<\/h2>\n\n\n\n

    \u4ee5\u4e0b\u306e\u4eee\u5b9a\u3092\u7f6e\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

      \n\n
    • \u91d1\u5229\u306f\u78ba\u5b9a\u3067\u4e00\u5b9a<\/strong>\u3002\u78ba\u7387\u7684\u306a\u5834\u5408\u306f\u7d50\u8ad6\u3060\u3051\u89e6\u308c\u308b\u3002<\/li>\n\n\n
    • \u5148\u7269\u306f\u6bce\u65e5\u5024\u6d17\u3044<\/strong>\u3055\u308c\u308b\u3002\u65e5\u3005\u306e\u4fa1\u683c\u5909\u52d5\u304c\u8a3c\u62e0\u91d1\u53e3\u5ea7\u306b\u5165\u51fa\u91d1\u3055\u308c\u308b\u3002<\/li>\n\n\n
    • \u53d6\u5f15\u30b3\u30b9\u30c8\u306f\u306a\u3044<\/strong>\u3002<\/li>\n\n\n
    • \u30e8\u30fc\u30ed\u30d4\u30a2\u30f3\u578b<\/strong>\u3002<\/li>\n\n<\/ul>\n\n\n\n

      \u5148\u7269\u5951\u7d04\u306f\u3001\u6e80\u671f\u306b\u539f\u8cc7\u7523\u3092\u5f15\u304d\u6e21\u3059\uff08\u53d7\u3051\u53d6\u308b\uff09\u5951\u7d04\u3067\u3059\u304c\u3001\u5148\u6e21\u3068\u9055\u3063\u3066\u6bce\u65e5\u306e\u5dee\u91d1\u6c7a\u6e08<\/strong>\uff08\u5024\u6d17\u3044\uff09\u304c\u3042\u308a\u307e\u3059\u3002\u5148\u7269\u4fa1\u683c\u304c\u4e0a\u304c\u308c\u3070\u8cb7\u3044\u624b\u306e\u53e3\u5ea7\u306b\u5165\u91d1\u3001\u4e0b\u304c\u308c\u3070\u51fa\u91d1\u3055\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

      \u5148\u6e21\u5951\u7d04\u306b\u306f\u5024\u6d17\u3044\u304c\u306a\u304f\u3001\u640d\u76ca\u306f\u6e80\u671f\u306b\u307e\u3068\u3081\u3066\u7cbe\u7b97\u3055\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

      \u91d1\u5229\u304c\u78ba\u5b9a\u3057\u3066\u3044\u308b\u3068\u304d\u3001\u5148\u7269\u4fa1\u683c\u3068\u5148\u6e21\u4fa1\u683c\u306f\u540c\u3058\u5024\u306b\u306a\u308a\u307e\u3059\u3002\u3057\u304b\u3057\u91d1\u5229\u304c\u78ba\u7387\u7684\u306a\u3068\u304d\u3001\u5024\u6d17\u3044\u3067\u51fa\u5165\u308a\u3059\u308b\u8cc7\u91d1\u306b\u4ed8\u304f\u91d1\u5229\u304c\u539f\u8cc7\u7523\u3068\u76f8\u95a2\u3059\u308b\u305f\u3081\u3001\u4e21\u8005\u306f\u305a\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

      \u3053\u306e\u7bc0\u306e\u307e\u3068\u3081: \u5148\u7269\u306e\u7279\u5fb4\u306f\u6bce\u65e5\u306e\u5024\u6d17\u3044\u3067\u3059\u3002\u91d1\u5229\u304c\u4e00\u5b9a\u306a\u3089\u5148\u6e21\u3068\u540c\u3058\u3067\u3059\u304c\u3001\u78ba\u7387\u7684\u306a\u3089\u5dee\u304c\u751f\u3058\u307e\u3059\u3002<\/p>\n\n\n\n

      3. \u4e3b\u5f35 \u2015 \u914d\u5f53\u5229\u56de\u308a\u3092\u91d1\u5229\u306b\u7b49\u3057\u304f\u7f6e\u3051\u3070\u3088\u3044<\/h2>\n\n\n\n
      \n

      \u5b9a\u7406 THM-FUT-1\uff08Black-76 \u306e\u5f0f\uff09<\/strong>\n\u5148\u7269\u4fa1\u683c <\/span>F<\/span><\/span><\/span><\/span><\/eq> \u3092\u539f\u8cc7\u7523\u3068\u3059\u308b\u30e8\u30fc\u30ed\u30d4\u30a2\u30f3\u30b3\u30fc\u30eb\u306e\u4fa1\u683c\u306f<\/p>\n

      <\/span>C<\/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>F<\/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><\/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><\/span><\/span><\/eqn><\/section>

      \u3067\u3042\u308b\u3002\u305f\u3060\u3057<\/p>\n

      <\/span>d<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>log<\/span><\/span>(<\/span>F<\/span>\/<\/span>K<\/span>)<\/span><\/span>+<\/span><\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>T<\/span>\/2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/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><\/span><\/span>d<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span>.<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

      \u3053\u308c\u306f\u7b2c71\u56de\u306e\u5f0f\u3067\u914d\u5f53\u5229\u56de\u308a <\/span>\u03b4<\/span><\/span><\/span><\/span><\/eq> \u3092\u91d1\u5229 <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u306b\u7b49\u3057\u304f\u7f6e\u3044\u305f\u3082\u306e\u3067\u3042\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

      \n

      \u5b9a\u7406 THM-FUT-2\uff08\u5148\u7269\u4fa1\u683c\u306f\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\uff09<\/strong>\n\u30ea\u30b9\u30af\u4e2d\u7acb\u6e2c\u5ea6 <\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u3001\u5148\u7269\u4fa1\u683c <\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u3067\u3042\u308b\u3002\u3059\u306a\u308f\u3061<\/p>\n

      <\/span>E<\/span><\/span>Q<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>[<\/span>F<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2223<\/span><\/span><\/span><\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span>=<\/span><\/span><\/span><\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>.<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>

      \u91d1\u5229\u304c\u78ba\u5b9a\u3057\u3066\u3044\u308b\u3068\u304d\u306f\u5148\u6e21\u4fa1\u683c <\/span>S<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>e<\/span><\/span>r<\/span>(<\/span>T<\/span>\u2212<\/span>t<\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3082\u540c\u3058\u904e\u7a0b\u3067\u3042\u308a\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u3067\u3042\u308b\u304c\u3001\u91d1\u5229\u304c\u78ba\u7387\u7684\u306a\u3068\u304d\u3001\u5148\u6e21\u4fa1\u683c\u306f\u4e00\u822c\u306b <\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u306b\u306a\u3089\u306a\u3044\uff08<\/span>Q<\/span><\/span><\/span><\/span><\/eq> \u306e\u3082\u3068\u3067\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u306a\u306e\u306f\u5272\u5f15\u5f8c\u306e\u539f\u8cc7\u7523\u4fa1\u683c\u3067\u3042\u308b\uff09\u3002<\/p>\n<\/blockquote>\n\n\n\n

      \n

      \u5b9a\u7406 THM-FUT-3\uff08\u5148\u7269\u3068\u5148\u6e21\u304c\u4e00\u81f4\u3059\u308b\u6761\u4ef6\uff09<\/strong>\n\u91d1\u5229\u304c\u78ba\u5b9a\u3057\u3066\u3044\u308b\u3068\u304d\u3001\u5148\u7269\u4fa1\u683c\u3068\u5148\u6e21\u4fa1\u683c\u306f\u4e00\u81f4\u3059\u308b\u3002\u91d1\u5229\u304c\u78ba\u7387\u7684\u306a\u3068\u304d\u3001\u539f\u8cc7\u7523\u3068\u91d1\u5229\u306e\u5171\u5206\u6563\u306b\u5fdc\u3058\u3066\u4e21\u8005\u306f\u305a\u308c\u308b\u3002<\/p>\n<\/blockquote>\n\n\n\n

      \u3053\u306e\u7bc0\u306e\u307e\u3068\u3081: Black-76 \u306f\u300c\u914d\u5f53\u5229\u56de\u308a\uff1d\u91d1\u5229\u300d\u306e\u7279\u6b8a\u30b1\u30fc\u30b9\u3067\u3042\u308a\u3001\u5148\u7269\u4fa1\u683c\u304c\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u3067\u3042\u308b\u3053\u3068\u304b\u3089\u5c0e\u304b\u308c\u307e\u3059\u3002<\/p>\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 \u5148\u7269\u4fa1\u683c\u304c\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u3067\u3042\u308b\u3053\u3068\u3092\u4f7f\u3046<\/h2>\n

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

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

      \u5148\u7269\u5951\u7d04\u306b\u53c2\u5165\u3059\u308b\u306e\u306b\u30b3\u30b9\u30c8\u306f\u304b\u304b\u308a\u307e\u305b\u3093\u3002\u8cb7\u3044\u5efa\u3066\u306e\u30dd\u30b8\u30b7\u30e7\u30f3\u3092\u53d6\u3063\u305f\u77ac\u9593\u306e\u4fa1\u5024\u306f\u30bc\u30ed\u3067\u3059\u3002\u6642\u523b <\/span>t<\/span><\/span><\/span><\/span><\/eq> \u304b\u3089 <\/span>t<\/span><\/span>+<\/span><\/span><\/span><\/span>d<\/span>t<\/span><\/span><\/span><\/span><\/eq> \u306e\u5024\u6d17\u3044\u3067\u53d7\u3051\u53d6\u308b\u91d1\u984d\u306f <\/span>d<\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>F<\/span><\/span>t<\/span>+<\/span>d<\/span>t<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002<\/p>\n

      \u30ea\u30b9\u30af\u4e2d\u7acb\u6e2c\u5ea6\u306e\u3082\u3068\u3067\u3001\u30bc\u30ed\u30b3\u30b9\u30c8\u306e\u30dd\u30b8\u30b7\u30e7\u30f3\u306e\u5229\u5f97\u306e\u5272\u5f15\u73fe\u5728\u4fa1\u5024\u306e\u671f\u5f85\u5024\u306f\u30bc\u30ed\u3067\u306a\u3051\u308c\u3070\u306a\u308a\u307e\u305b\u3093\u3002\u5024\u6d17\u3044\u3067\u53d7\u3051\u53d6\u3063\u305f <\/span>d<\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u305d\u306e\u6642\u70b9\u3067\u8a3c\u62e0\u91d1\u53e3\u5ea7\u306b\u5165\u308a\u3001\u91d1\u5229 <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u3067\u904b\u7528\u3055\u308c\u307e\u3059\u3002\u91d1\u5229\u304c\u78ba\u5b9a\u3057\u3066\u3044\u308b\u3068\u304d\u3001\u5272\u5f15\u306f\u305f\u3060\u306e\u5b9a\u6570\u500d\u306a\u306e\u3067<\/p>\n

      <\/span>E<\/span><\/span>Q<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>[<\/span>d<\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2223<\/span><\/span><\/span><\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>]<\/span><\/span>=<\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u304c\u6210\u308a\u7acb\u3061\u307e\u3059\u3002\u3053\u308c\u306f <\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304c\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u3067\u3042\u308b\u3053\u3068\u306e\u5b9a\u7fa9\u305d\u306e\u3082\u306e\u3067\u3059\u3002<\/p>\n

      <\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u6027\u3092\u78ba\u7387\u5fae\u5206\u65b9\u7a0b\u5f0f\u3067\u66f8\u304f\u3068<\/p>\n

      <\/span>d<\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c3<\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>d<\/span>W<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>.<\/span><\/span><\/span>(<\/span>4.1<\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u30c9\u30ea\u30d5\u30c8\u9805\u304c\u3042\u308a\u307e\u305b\u3093\u3002<\/span>F<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u30ea\u30b9\u30af\u4e2d\u7acb\u4e16\u754c\u3067\u300c\u5e73\u5747\u7684\u306b\u5909\u5316\u3057\u306a\u3044\u300d\u306e\u3067\u3059\u3002<\/p>\n

      \u4e00\u65b9\u3001\u539f\u8cc7\u7523\u306e\u4fa1\u683c\u904e\u7a0b\u306f <\/span>d<\/span>S<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>r<\/span>S<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>d<\/span>t<\/span><\/span>+<\/span><\/span><\/span><\/span>\u03c3<\/span>S<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>d<\/span>W<\/span><\/span>t<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u30c9\u30ea\u30d5\u30c8 <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u3092\u6301\u3061\u307e\u3059\u3002\u5148\u7269\u306f\u30c9\u30ea\u30d5\u30c8\u3092\u6301\u305f\u306a\u3044\u3002\u3053\u306e\u5dee\u304c\u300c\u5148\u7269\u306e\u4fdd\u6709\u30b3\u30b9\u30c8\u304c\u30bc\u30ed\u3067\u3042\u308b\u300d\u3053\u3068\u306b\u5bfe\u5fdc\u3057\u307e\u3059\u3002 \u220e<\/p>\n

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

      \u7b2c71\u56de\u306e\u7d50\u679c\u3092\u4f7f\u3044\u307e\u3059\u3002\u914d\u5f53\u5229\u56de\u308a <\/span>\u03b4<\/span><\/span><\/span><\/span><\/eq> \u3092\u6301\u3064\u539f\u8cc7\u7523\u306e\u30b3\u30fc\u30eb\u4fa1\u683c\u306f<\/p>\n

      <\/span>C<\/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>\u2212<\/span>\u03b4<\/span>T<\/span><\/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\u3057\u305f\u3002\u5148\u7269\u306e\u4fdd\u6709\u30b3\u30b9\u30c8\u306f\u30bc\u30ed\u306a\u306e\u3067\u3001<\/span>\u03b4<\/span><\/span>=<\/span><\/span><\/span><\/span>r<\/span><\/span><\/span><\/span><\/eq> \u3068\u7f6e\u304d\u307e\u3059\u3002<\/p>\n

      <\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/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>=<\/span><\/span><\/span><\/span>F<\/span><\/span>\u22c5<\/span><\/span><\/span><\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      \u3067\u3059\u304c\u3001\u5148\u7269\u4fa1\u683c <\/span>F<\/span><\/span><\/span><\/span><\/eq> \u306f\u305d\u3082\u305d\u3082\u73fe\u5728\u306e\u30b3\u30b9\u30c8\u304c\u30bc\u30ed\u306e\u5951\u7d04\u306a\u306e\u3067\u3001\u3053\u3053\u3067\u306e\u300c<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq>\u300d\u306f\u5148\u7269\u4fa1\u683c <\/span>F<\/span><\/span><\/span><\/span><\/eq> \u305d\u306e\u3082\u306e\u3067\u3059\u3002<\/span>\u03b4<\/span><\/span>=<\/span><\/span><\/span><\/span>r<\/span><\/span><\/span><\/span><\/eq> \u3092\u4ee3\u5165\u3059\u308b\u3068 <\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>e<\/span><\/span>\u2212<\/span>\u03b4<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>F<\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u306a\u308a<\/p>\n

      <\/span><\/span>C<\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>F<\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/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>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><\/span>=<\/span><\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>F<\/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>K<\/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>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      <\/span>d<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u30c9\u30ea\u30d5\u30c8\u9805\u306f <\/span>r<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>\u03b4<\/span><\/span>+<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\/2<\/span><\/span>=<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\/2<\/span><\/span><\/span><\/span><\/eq>\u3002<\/span>log<\/span><\/span>(<\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\/<\/span>K<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>log<\/span><\/span>(<\/span>F<\/span>\/<\/span>K<\/span>)<\/span><\/span><\/span><\/span><\/eq> \u3068\u3042\u308f\u305b\u3066<\/p>\n

      <\/span>d<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>log<\/span><\/span>(<\/span>F<\/span>\/<\/span>K<\/span>)<\/span><\/span>+<\/span><\/span>\u03c3<\/span><\/span>2<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>T<\/span>\/2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/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><\/span><\/span>d<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>\u03c3<\/span><\/span>T<\/span><\/span><\/span><\/span><\/svg><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span>.<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n

      <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u304c <\/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> \u304b\u3089\u6d88\u3048\u3066\u3044\u307e\u3059\u3002\u5148\u7269\u306e\u30c9\u30ea\u30d5\u30c8\u304c\u30bc\u30ed\uff08THM-FUT-2\uff09\u3067\u3042\u308b\u3053\u3068\u3092\u53cd\u6620\u3057\u3066\u3044\u307e\u3059\u3002\u305f\u3060\u3057\u5272\u5f15 <\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306f\u5168\u4f53\u306b\u639b\u304b\u308a\u307e\u3059\u3002 \u220e<\/p>\n

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

      \u91d1\u5229\u304c\u78ba\u5b9a\u3057\u3066\u3044\u308b\u3068\u304d\u3002<\/strong> \u5148\u6e21\u4fa1\u683c\u306f <\/span>F<\/span><\/span>fwd<\/span><\/span><\/span><\/span><\/span><\/span><\/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>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u5148\u7269\u4fa1\u683c\u3082\u7121\u88c1\u5b9a\u304b\u3089 <\/span>F<\/span><\/span>fut<\/span><\/span><\/span><\/span><\/span><\/span><\/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>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u306a\u3051\u308c\u3070\u306a\u308a\u307e\u305b\u3093\u3002<\/p>\n

      \u3053\u308c\u306f\u6b21\u306e\u3088\u3046\u306b\u78ba\u8a8d\u3067\u304d\u307e\u3059\u3002\u539f\u8cc7\u7523\u30921\u5358\u4f4d\u7a7a\u58f2\u308a\u3057\u3066 <\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3092\u5b89\u5168\u8cc7\u7523\u306b\u7f6e\u304d\u3001\u540c\u6642\u306b\u5148\u7269\u3092\u8cb7\u3044\u5efa\u3066\u307e\u3059\u3002\u305f\u3060\u3057\u65e5 <\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304b\u3089 <\/span>t<\/span><\/span>i<\/span>+<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306e\u5024\u6d17\u3044\u3092\u53d7\u3051\u308b\u5148\u7269\u306e\u679a\u6570\u3092 <\/span>e<\/span><\/span>\u2212<\/span>r<\/span>(<\/span>T<\/span>\u2212<\/span>t<\/span><\/span>i<\/span>+<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u679a\u306b\u8abf\u6574\u3057\u307e\u3059\u3002\u91d1\u5229\u304c\u78ba\u5b9a\u3057\u3066\u3044\u308b\u306e\u3067\u3053\u306e\u679a\u6570\u306f\u524d\u3082\u3063\u3066\u6c7a\u307e\u308a\u3001\u521d\u671f\u30b3\u30b9\u30c8\u306f\u30bc\u30ed\u3067\u3059\u3002\u65e5 <\/span>t<\/span><\/span>i<\/span>+<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u53d7\u3051\u53d6\u308b\u5024\u6d17\u3044 <\/span>e<\/span><\/span>\u2212<\/span>r<\/span>(<\/span>T<\/span>\u2212<\/span>t<\/span><\/span>i<\/span>+<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>)<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>F<\/span><\/span>t<\/span><\/span>i<\/span>+<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>F<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/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><\/eq> \u3092\u6e80\u671f\u307e\u3067\u91d1\u5229 <\/span>r<\/span><\/span><\/span><\/span><\/eq> \u3067\u904b\u7528\u3059\u308b\u3068 <\/span>F<\/span><\/span>t<\/span><\/span>i<\/span>+<\/span>1<\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>F<\/span><\/span>t<\/span><\/span>i<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u306a\u308b\u306e\u3067\u3001\u5024\u6d17\u3044\u306e\u7d2f\u7a4d\uff08\u91d1\u5229\u8fbc\u307f\uff09\u306f <\/span>F<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>F<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/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>F<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002\u5b89\u5168\u8cc7\u7523\u306f <\/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><\/eq> \u306b\u306a\u308a\u3001\u7a7a\u58f2\u308a\u306e\u89e3\u6d88\u306b <\/span>S<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3092\u6255\u3046\u306e\u3067\u3001\u6e80\u671f\u306e\u640d\u76ca\u306f <\/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>\u2212<\/span><\/span><\/span><\/span>S<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>+<\/span><\/span><\/span><\/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>F<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/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>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\u2212<\/span><\/span><\/span><\/span>F<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u3044\u3046\u78ba\u5b9a\u5024\u3067\u3059\u3002\u3057\u305f\u304c\u3063\u3066 <\/span>F<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>\ue020<\/span><\/span><\/span><\/span><\/span><\/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>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306a\u3089\uff08\u7b26\u53f7\u306b\u5fdc\u3058\u3066\u58f2\u308a\u8cb7\u3044\u3092\u9006\u306b\u3059\u308c\u3070\uff09\u88c1\u5b9a\u3067\u3059\u3002\u679a\u6570\u3092\u8abf\u6574\u305b\u305a1\u679a\u306e\u307e\u307e\u306b\u3059\u308b\u3068\u3001\u5024\u6d17\u3044\u306b\u4ed8\u304f\u91d1\u5229\u306e\u5206\u3060\u3051\u640d\u76ca\u304c\u78ba\u7387\u7684\u306b\u306a\u308a\uff08CEX-FUT-3\uff09\u3001\u3053\u306e\u8b70\u8ad6\u306f\u6210\u308a\u7acb\u3061\u307e\u305b\u3093\u3002<\/p>\n

      \u91d1\u5229\u304c\u78ba\u7387\u7684\u306a\u3068\u304d\u3002<\/strong> \u5024\u6d17\u3044\u3067\u65e5\u3005\u51fa\u5165\u308a\u3059\u308b\u8cc7\u91d1\u306b\u4ed8\u304f\u91d1\u5229\u304c\u5909\u52d5\u3057\u307e\u3059\u3002\u539f\u8cc7\u7523\u304c\u4e0a\u304c\u308b\u3068\u304d\u306b\u91d1\u5229\u3082\u4e0a\u304c\u308b\u3068\uff08\u6b63\u306e\u76f8\u95a2\uff09\u3001\u5024\u6d17\u3044\u3067\u53d7\u3051\u53d6\u3063\u305f\u5229\u76ca\u3092\u9ad8\u3044\u91d1\u5229\u3067\u904b\u7528\u3067\u304d\u308b\u305f\u3081\u3001\u5148\u7269\u306e\u8cb7\u3044\u624b\u304c\u6709\u5229\u306b\u306a\u308a\u307e\u3059\u3002\u88c1\u5b9a\u304c\u306a\u304f\u306a\u308b\u307e\u3067\u5148\u7269\u4fa1\u683c\u304c\u4e0a\u304c\u308b\u306e\u3067 <\/span>F<\/span><\/span>fut<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>><\/span><\/span><\/span><\/span>F<\/span><\/span>fwd<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u306a\u308a\u307e\u3059\u3002\u9006\u306b\u8ca0\u306e\u76f8\u95a2\u306a\u3089 <\/span>F<\/span><\/span>fut<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><<\/span><\/span><\/span><\/span>F<\/span><\/span>fwd<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3067\u3059\u3002 \u220e<\/p>\n<\/details>\n\n\n\n

      5. \u53cd\u4f8b \u2015 \u5148\u7269\u3068\u5148\u6e21\u306f\u5e38\u306b\u540c\u3058\u3067\u306f\u306a\u3044<\/h2>\n\n\n\n

      CEX-FUT-1: \u91d1\u5229\u3068\u539f\u8cc7\u7523\u304c\u76f8\u95a2\u3059\u308b\u30b1\u30fc\u30b9<\/h3>\n\n\n\n

      \u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\uff08\u30b7\u30fc\u30c942\u300150000\u7d4c\u8def\uff09\u3067\u3001\u539f\u8cc7\u7523\u3068\u91d1\u5229\u306e\u76f8\u95a2 <\/span>\u03c1<\/span><\/span>=<\/span><\/span><\/span><\/span>0.5<\/span><\/span><\/span><\/span><\/eq> \u306e\u5834\u5408\u306e <\/span>S<\/span><\/span>T<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u7d2f\u7a4d\u91d1\u5229\u30d1\u30b9\u306e\u5171\u5206\u6563\u3092\u8a08\u7b97\u3059\u308b\u3068\u3001\u5171\u5206\u6563\u306f <\/span>0.0452<\/span><\/span><\/span><\/span><\/eq> \u3068\u6b63\u306e\u5024\u3092\u53d6\u308a\u307e\u3059\u3002\u5148\u7269\u306e\u8cb7\u3044\u624b\u306f\u3001\u539f\u8cc7\u7523\u304c\u4e0a\u304c\u3063\u305f\u3068\u304d\u306b\u9ad8\u3044\u91d1\u5229\u3067\u5024\u6d17\u3044\u76ca\u3092\u904b\u7528\u3067\u304d\u3001\u6709\u5229\u3067\u3059\u3002\u3053\u306e\u5206\u3060\u3051\u5148\u7269\u4fa1\u683c\u306f\u5148\u6e21\u4fa1\u683c\u3092\u4e0a\u56de\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

      \u91d1\u5229\u304c\u78ba\u5b9a\u3057\u3066\u3044\u308b\u306a\u3089\u5171\u5206\u6563\u306f\u30bc\u30ed\u3067\u3001\u5148\u7269\u3068\u5148\u6e21\u306f\u4e00\u81f4\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      CEX-FUT-2: \u901a\u5e38\u306e\u5f0f\u3092\u5148\u7269\u306b\u305d\u306e\u307e\u307e\u4f7f\u3046\u8aa4\u308a<\/h3>\n\n\n\n

      \u5148\u7269\u4fa1\u683c <\/span>F<\/span><\/span>=<\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span><\/eq> \u3092\u305d\u306e\u307e\u307e\u901a\u5e38\u306e\u30d6\u30e9\u30c3\u30af\u30fb\u30b7\u30e7\u30fc\u30eb\u30ba\u5f0f\uff08\u914d\u5f53\u306a\u3057\uff09\u306b\u5165\u308c\u308b\u3068<\/p>\n\n\n\n

      <\/span>C<\/span><\/span>wrong<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>10.4506<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      \u304c\u5f97\u3089\u308c\u307e\u3059\u3002\u6b63\u3057\u3044 Black-76 \u306e\u5024\u306f<\/p>\n\n\n\n

      <\/span>C<\/span><\/span>correct<\/span><\/span><\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>7.5771<\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      \u3067\u3059\u3002\u5dee\u306f <\/span>2.8735<\/span><\/span><\/span><\/span><\/eq> \u3067\u3001\u7d0438\u30d1\u30fc\u30bb\u30f3\u30c8\u3082\u904e\u5927\u8a55\u4fa1\u3057\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u901a\u5e38\u306e\u5f0f\u3067\u306f <\/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><\/span><\/span><\/eq> \u306e <\/span>S<\/span><\/span>0<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u306b\u5272\u5f15\u304c\u639b\u304b\u308a\u307e\u305b\u3093\u3002\u5148\u7269\u306f\u4fdd\u6709\u306b\u30b3\u30b9\u30c8\u304c\u7121\u3044\u306e\u306b\u3001\u3042\u305f\u304b\u3082\u8cc7\u91d1\u3092\u5bdd\u304b\u305b\u3066\u3044\u308b\u304b\u306e\u3088\u3046\u306a\u8a08\u7b97\u3092\u3057\u3066\u3057\u307e\u3046\u305f\u3081\u3001\u6e80\u671f\u306e\u5148\u7269\u4fa1\u683c\u306e\u671f\u5f85\u5024\u3092 <\/span>F<\/span><\/span><\/span><\/span><\/eq> \u3067\u306f\u306a\u304f <\/span>F<\/span>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3068\u307f\u306a\u3057\u305f\u3053\u3068\u306b\u306a\u308a\u307e\u3059\u3002\u5b9f\u969b\u3001Black-76 \u306b <\/span>F<\/span>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3092\u5165\u308c\u308b\u3068\u8aa4\u3063\u305f\u5024\u3068\u540c\u3058 <\/span>10.4506<\/span><\/span><\/span><\/span><\/eq> \u306b\u306a\u308a\u3001\u904e\u5927\u8a55\u4fa1\u306f\u5358\u7d14\u306a <\/span>e<\/span><\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u500d\u3088\u308a\u5927\u304d\u304f\u306a\u308a\u307e\u3059\u3002Black-76 \u3067\u306f\u5168\u4f53\u306b <\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u304c\u639b\u304b\u308b\u3053\u3068\u3067\u3053\u308c\u3092\u4fee\u6b63\u3057\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      CEX-FUT-3: \u5024\u6d17\u3044\u306b\u3088\u308b\u8cc7\u91d1\u306e\u51fa\u5165\u308a<\/h3>\n\n\n\n

      \u5148\u7269\u30921\u679a\u8cb7\u3044\u5efa\u3066\u305f\u5834\u5408\u306e\u5024\u6d17\u3044\u306e\u7d2f\u7a4d\u3092\u898b\u307e\u3059\uff08<\/span>F<\/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>\u03c3<\/span><\/span>=<\/span><\/span><\/span><\/span>20%<\/span><\/span><\/span><\/span><\/eq>, <\/span>r<\/span><\/span>=<\/span><\/span><\/span><\/span>5%<\/span><\/span><\/span><\/span><\/eq>, <\/span>T<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq>\u5e74\uff09\u3002<\/p>\n\n\n\n\n\n\n\n\n\n
      <\/th>\n\u91d1\u5229\u52b9\u679c\u306a\u3057<\/th>\n\u91d1\u5229\u52b9\u679c\u3042\u308a<\/th>\n<\/tr>\n<\/thead>\n
      \u7d2f\u7a4d\u306e\u5e73\u5747<\/td>\n<\/span>\u2212<\/span>0.08<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>\u2212<\/span>0.08<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n
      \u7d2f\u7a4d\u306e\u6a19\u6e96\u504f\u5dee<\/td>\n<\/span>20.09<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/span>20.60<\/span><\/span><\/span><\/span><\/eq><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n

      \u91d1\u5229\u52b9\u679c\u3092\u542b\u3081\u308b\u3068\u3001\u6a19\u6e96\u504f\u5dee\u304c <\/span>20.09<\/span><\/span><\/span><\/span><\/eq> \u304b\u3089 <\/span>20.60<\/span><\/span><\/span><\/span><\/eq> \u306b\u5897\u3048\u3066\u3044\u307e\u3059\u3002\u65e5\u6b21\u306e\u5024\u6d17\u3044\u984d\u306b\u91d1\u5229\u304c\u4ed8\u304f\u3053\u3068\u3067\u3001\u640d\u76ca\u306e\u3070\u3089\u3064\u304d\u304c\u5897\u5e45\u3055\u308c\u307e\u3059\u3002\u91d1\u5229\u52b9\u679c\u306e\u5e73\u5747\u306f <\/span>\u2212<\/span>0.004<\/span><\/span><\/span><\/span><\/eq> \u3068\u307b\u307c\u30bc\u30ed\u3067\u3059\u304c\u3001\u6a19\u6e96\u504f\u5dee\u306f <\/span>0.59<\/span><\/span><\/span><\/span><\/eq> \u3067\u7121\u8996\u3067\u304d\u306a\u3044\u5927\u304d\u3055\u3067\u3059\u3002<\/p>\n\n\n\n

      \u3053\u306e\u7bc0\u306e\u307e\u3068\u3081: \u5148\u7269\u3068\u5148\u6e21\u306f\u91d1\u5229\u304c\u78ba\u5b9a\u306a\u3089\u540c\u3058\u3067\u3059\u304c\u3001\u76f8\u95a2\u304c\u3042\u308b\u5834\u5408\u3084\u5024\u6d17\u3044\u306e\u91d1\u5229\u52b9\u679c\u3092\u8003\u616e\u3059\u308b\u3068\u5dee\u304c\u751f\u3058\u307e\u3059\u3002<\/p>\n\n\n\n

      6. \u6570\u5024\u4f8b \u2015 Black-76 \u3067\u4fa1\u683c\u3092\u51fa\u3059<\/h2>\n\n\n\n

      <\/span>F<\/span><\/span>=<\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span><\/eq>, <\/span>K<\/span><\/span>=<\/span><\/span><\/span><\/span>100<\/span><\/span><\/span><\/span><\/eq>, <\/span>r<\/span><\/span>=<\/span><\/span><\/span><\/span>5%<\/span><\/span><\/span><\/span><\/eq>, <\/span>\u03c3<\/span><\/span>=<\/span><\/span><\/span><\/span>20%<\/span><\/span><\/span><\/span><\/eq>, <\/span>T<\/span><\/span>=<\/span><\/span><\/span><\/span>1<\/span><\/span><\/span><\/span><\/eq>\u5e74\u3002<\/p>\n\n\n\n

      <\/span><\/span>d<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/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>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.20<\/span><\/span><\/span><\/span><\/span><\/span><\/span>log<\/span><\/span>(<\/span>100\/100<\/span>)<\/span><\/span>+<\/span><\/span>0.04\/2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.20<\/span><\/span><\/span><\/span><\/span><\/span><\/span>0.02<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>0.10<\/span>,<\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>0.10<\/span><\/span>\u2212<\/span><\/span>0.20<\/span><\/span>=<\/span><\/span>\u2212<\/span>0.10.<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n
      <\/span><\/span>C<\/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>0.05<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>100<\/span><\/span>\u00d7<\/span><\/span>N<\/span>(<\/span>0.10<\/span>)<\/span><\/span>\u2212<\/span><\/span>100<\/span><\/span>\u00d7<\/span><\/span>N<\/span>(<\/span>\u2212<\/span>0.10<\/span>))<\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>0.9512<\/span><\/span>\u00d7<\/span><\/span>(<\/span>53.98<\/span><\/span>\u2212<\/span><\/span>46.02<\/span>)<\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span>0.9512<\/span><\/span>\u00d7<\/span><\/span>7.9656<\/span><\/span>=<\/span><\/span>7.5771.<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eqn><\/section>\n\n\n\n

      ATM\uff08<\/span>F<\/span><\/span>=<\/span><\/span><\/span><\/span>K<\/span><\/span><\/span><\/span><\/eq>\uff09\u3067\u306f <\/span>d<\/span><\/span>1<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>\u2212<\/span>d<\/span><\/span>2<\/span><\/span><\/span><\/span>\u200b<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>=<\/span><\/span><\/span><\/span>0.10<\/span><\/span><\/span><\/span><\/eq> \u3068\u306a\u308a\u3001\u30b3\u30fc\u30eb\u3068\u30d7\u30c3\u30c8\u304c\u540c\u3058\u4fa1\u683c <\/span>7.5771<\/span><\/span><\/span><\/span><\/eq> \u3092\u53d6\u308a\u307e\u3059\u3002\u3053\u308c\u306f\u5148\u7269\u306e\u30d1\u30ea\u30c6\u30a3 <\/span>C<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>P<\/span><\/span>=<\/span><\/span><\/span><\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span>(<\/span>F<\/span><\/span>\u2212<\/span><\/span><\/span><\/span>K<\/span>)<\/span><\/span>=<\/span><\/span><\/span><\/span>0<\/span><\/span><\/span><\/span><\/eq> \u304b\u3089\u78ba\u8a8d\u3067\u304d\u307e\u3059\u3002<\/p>\n\n\n\n

      \u914d\u5f53\u5229\u56de\u3044\uff1d\u91d1\u5229\u306e\u691c\u7b97<\/strong>: \u7b2c71\u56de\u306e\u914d\u5f53\u3064\u304d\u5f0f\u306b <\/span>\u03b4<\/span><\/span>=<\/span><\/span><\/span><\/span>r<\/span><\/span>=<\/span><\/span><\/span><\/span>0.05<\/span><\/span><\/span><\/span><\/eq> \u3092\u5165\u308c\u308b\u3068 <\/span>C<\/span><\/span>=<\/span><\/span><\/span><\/span>7.5771<\/span><\/span><\/span><\/span><\/eq> \u3067\u3001Black-76 \u3068\u4e00\u81f4\u3057\u307e\u3059\u3002<\/p>\n\n\n\n

      \u901a\u5e38\u5f0f\u3068\u306e\u5dee<\/strong>: \u5148\u7269\u4fa1\u683c\u3092\u901a\u5e38\u306eBS\u5f0f\u306b\u305d\u306e\u307e\u307e\u5165\u308c\u308b\u3068 <\/span>C<\/span><\/span>=<\/span><\/span><\/span><\/span>10.4506<\/span><\/span><\/span><\/span><\/eq> \u3067\u3001<\/span>2.87<\/span><\/span><\/span><\/span><\/eq> \u306e\u904e\u5927\u8a55\u4fa1\u3067\u3059\u3002<\/p>\n\n\n\n

      \u3053\u306e\u7bc0\u306e\u307e\u3068\u3081: Black-76 \u306f <\/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> \u306b\u91d1\u5229\u304c\u5165\u3089\u305a\u3001\u5168\u4f53\u306e\u5272\u5f15 <\/span>e<\/span><\/span>\u2212<\/span>r<\/span>T<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/eq> \u3060\u3051\u304c\u639b\u304b\u308b\u30b7\u30f3\u30d7\u30eb\u306a\u69cb\u9020\u3067\u3059\u3002<\/p>\n\n\n\n

      7. \u6b21\u56de\u3078 \u2015 \u30ac\u30f3\u30de\u3068\u30bb\u30fc\u30bf\u306e\u7db1\u5f15\u304d<\/h2>\n\n\n\n

      \u4eca\u56de\u306f\u3001\u5148\u7269\u30aa\u30d7\u30b7\u30e7\u30f3\u306e\u4fa1\u683c\u3092 Black-76 \u3067\u6c42\u3081\u308b\u65b9\u6cd5\u3092\u78ba\u8a8d\u3057\u307e\u3057\u305f\u3002\u5148\u7269\u4fa1\u683c\u306e\u30de\u30eb\u30c1\u30f3\u30b2\u30fc\u30eb\u6027\u304c\u9375\u3067\u3001\u914d\u5f53\u5229\u56de\u3044\u3092\u91d1\u5229\u3068\u7b49\u3057\u304f\u7f6e\u304f\u3060\u3051\u3067\u5f0f\u304c\u5f97\u3089\u308c\u307e\u3059\u3002\u5148\u7269\u3068\u5148\u6e21\u306f\u91d1\u5229\u304c\u78ba\u5b9a\u306a\u3089\u4e00\u81f4\u3057\u307e\u3059\u304c\u3001\u78ba\u7387\u7684\u306a\u5834\u5408\u306f\u305a\u308c\u308b\u3053\u3068\u3082\u898b\u307e\u3057\u305f\u3002<\/p>\n\n\n\n

      \u6b21\u56de\uff08\u7b2c74\u56de\uff09\u3067\u306f\u3001\u30d8\u30c3\u30b8\u306e\u640d\u76ca\u3092\u5206\u6790\u3057\u307e\u3059\u3002\u30c7\u30eb\u30bf\u4e2d\u7acb\u306b\u4fdd\u3063\u305f\u5efa\u7389\u3067\u3001\u30ac\u30f3\u30de\u306b\u3088\u308b\u5229\u76ca\u3068\u30bb\u30fc\u30bf\u306b\u3088\u308b\u640d\u5931\u304c\u3069\u3046\u91e3\u308a\u5408\u3046\u304b\u3092\u898b\u307e\u3059\u3002<\/p>\n\n\n\n

      \u6b21\u306e\u30de\u30a4\u30eb\u30b9\u30c8\u30fc\u30f3\u307e\u3067\u3042\u3068 4 \u672c\u3067\u3059\u3002<\/p>\n\n\n\n

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

      \u5148\u7269\u3068\u5148\u6e21\u306f\u3069\u3046\u9055\u3046\u306e\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u5148\u7269\u306f\u6bce\u65e5\u5dee\u91d1\u6c7a\u6e08\u3055\u308c\u307e\u3059\u3002\u305d\u306e\u8cc7\u91d1\u306e\u51fa\u5165\u308a\u306b\u91d1\u5229\u304c\u4ed8\u304f\u305f\u3081\u3001\u7406\u8ad6\u4fa1\u683c\u304c\u305a\u308c\u307e\u3059\u3002<\/p>\n\n\n\n

      \u306a\u305c\u914d\u5f53\u5229\u56de\u308a\u3092\u91d1\u5229\u306b\u7b49\u3057\u304f\u7f6e\u304f\u306e\u3067\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u5148\u7269\u3092\u6301\u3064\u306e\u306b\u8cc7\u91d1\u304c\u8981\u3089\u306a\u3044\u304b\u3089\u3067\u3059\u3002\u4fdd\u6709\u30b3\u30b9\u30c8\u304c\u7121\u3044\u8cc7\u7523\u3068\u540c\u3058\u6271\u3044\u306b\u306a\u308a\u307e\u3059\u3002<\/p>\n\n\n\n

      \u5b9f\u52d9\u3067\u306f\u3069\u3061\u3089\u3092\u4f7f\u3044\u307e\u3059\u304b<\/strong><\/p>\n\n\n\n

      \u5546\u54c1\u5148\u7269\u3084\u91d1\u5229\u5546\u54c1\u3067\u306f Black-76 \u304c\u6a19\u6e96\u7684\u306b\u4f7f\u308f\u308c\u3066\u3044\u307e\u3059\u3002<\/p>\n\n\n\n

      \u53c2\u8003\u6587\u732e<\/h2>\n\n\n\n
        \n\n
      1. Black F.\u3001The Pricing of Commodity Contracts\u3001Journal of Financial Economics\u30011976\u5e74\u3001DOI 10.1016\/0304-405X(76)90024-6<\/li>\n\n\n
      2. Hull J. C.\u3001Options Futures and Other Derivatives\u3001\u7b2c11\u7248\u3001Pearson\u30012021\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\u691c\u7b97\u6e08\u307f\u3002\u30b7\u30df\u30e5\u30ec\u30fc\u30b7\u30e7\u30f3\u306f\u30b7\u30fc\u30c942\u3067\u5b9f\u884c\u3002<\/em><\/p>\n\n","protected":false},"excerpt":{"rendered":"

        \u4f4d\u7f6e: \u7b2c7\u90e8 \u7b2c73\u56de \/ \u524d\u63d0: \u7b2c16\u56de\u3001\u7b2c64\u56de\u3001\u7b2c71\u56de\u3001\u7b2c72\u56de \/ \u6570\u5b66\u7de8: \u306a\u3057 \/ \u3053\u306e\u56de\u3067\u3067\u304d\u308b\u3088\u3046\u306b\u306a\u308b\u3053\u3068: \u5148\u7269\u3092\u539f\u8cc7\u7523\u3068\u3059\u308b\u30aa\u30d7\u30b7\u30e7\u30f3\u3092 Black-76 \u3067\u8a08\u7b97\u3057\u3001\u5148\u7269\u3068\u5148\u6e21\u306e\u9055\u3044\u304c\u52b9\u304f\u5834\u9762 […]<\/p>\n","protected":false},"author":1,"featured_media":209173,"comment_status":"closed","ping_status":"","sticky":false,"template":"","format":"standard","meta":{"swell_btn_cv_data":"","footnotes":""},"categories":[159],"tags":[166],"class_list":["post-208580","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-financial-engineering","tag-fe-part6-black-scholes"],"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