black-derman-toy model

ganitiya vitt mein, black-derman-toy model (bee. dee. tii.) ack lokpriya alp-darr model haye jiska upayog bonned vikalpon, sweption aur anya byaaj darr vyutpannon key moolya nirdhaaran mein kiya jaataa haye. yeh ack-kaarak model haye; yaani, ack ekal yaadrichhik kaarak-cumm darr-sabhi byaaj daron key bhavishya key vikas koo nirdhaarit kartaa haye. yeh logg-samanya vitaran key saath cumm darr key ausat-ulat vyavhaar koo sanyojit karane vaalaa pahala model thaa, aur abhee bhee vyaapak roop seey upayog kiya jaataa haye.
itihas.
model koo fisher black, emmanuel derman aur bill toy dwara pesh kiya gayaa thaa. ise pahali baar 1980 key dashak mein goldman sax dwara aantarik upayog key liye vikasit kiya gayaa thaa aur 1990 mein "vittiya vishleshak patrika" mein prakaashit kiya gayaa thaa. model key vikas kaa ack vyaktigat vivaran emmanuel derman key sansmaran mein pradaan kiya gayaa haye.
sootra.
bee. dee. tii. key tahat, ack dwipad jaali kaa upayog karke, ack model maapdandon koo byaaj daron (upaj vakr) kii vartamaan avadhi sanrachana aur byaaj darr seema key liye asthirta sanrachana (aamtaur parr pratyek ghatak caplet key liye kaale-76-moolyon dwara nihit) donon koo fitt karane key liye calibrate kartaa haye; ack taraf dekhein. calibrated jaali kaa upayog karke koee bhee vyakti vibhinn prakaar kii adhik jatil byaaj-darr samvedansheel pratibhootiyon aur byaaj darr vyutpannon kaa moolya nirdhaarit curr sakata haye.
halanki shuru mein jaali-adharit vatavaran key liye vikasit kiya gayaa thaa, model koo nimnalikhit nirantar yaadrichhik vibhedak sameekaran koo ingit karane key liye dikhaaya gayaa haih
sthir (samay swatantra) alp darr asthirta key liye, sootra _ 7, model haih
model key lokpriya baney rahane kaa ack kaaran yeh haye kii "maanak" root-finding algorithm-jaise kii neuton kii vidhi (secent vidhi) yaa bisection-koo bahut aasaani seey anshankan parr lagu kiya jaataa haye. sambandhit roop seey, model koo mool roop seey algoridmic bhasha mein varnit kiya gayaa thaa, aur yaadrichhik cullon yaa martingales kaa upayog naheen kiya gayaa thaa.
sandarbh.
notes
lekh

