LaoHao

当年因为浮躁在这里写点东西以求静心，2年没来了，今天再来发现自己依旧是那般的浮躁。

没长进，白混了。

我承认

我很极端

我也承认

我很自卑

但是

我将把极端进行到底

将把自卑展露无遗

 

***************************

 

一个星期前

是我造访地球的二十四周年纪念日

但是

至今我孑然一人

对此

我很生气

我发誓

会有事情发生

可谓志同道合

其实袜子就是用来垫着点的

何必需要完整呢

This Week’s Citation CIassic~ AUGUST17, 1987 [Black F & Scholes M. The pricing of options and corporate liabilities.
I. Pout. Econ. 81:637-54, 1973.
[University of Chicago. IL and Massachusetts Institute of Technology. Cambridge, MAI
If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. The paper demonstrates how a theoretical valuation formula for options can be derived using this principle. [The SSCI® indicates that this paper has been cited in over 500 publications.]

Fischer Black.
Goldman Sachs and Company
85 Broad Street
New York, NY 10004

July 7, 1987

    My paper with Myron Scholes giving the derivation of our option formula appeared in the spring of 1973. But the work that led to the formula began in the spring of 1969; the background work began in 1965.

    Jack Treynor sparked myinterest in finance.He was at Arthur D. Little, Inc., when I started work there in 1965. In 1961 he had developed an equilibrium model for the pricing of securities and other assets; this model is now called the “capital asset pricing model.” William F. Sharpe,’John Lintner,2 and Jan Mossin3 developed more or less independent versions of the capital asset pricing model, and their versions began to be published in 1964 and 1965. Treynor’s papers were never published.
    The notion of equilibrium in the market for risky assets had great beauty for me. It implies that riskier securities must have higherexpected returns, or investors will not hold them. I started trying to apply the capital asset pricing model to assets other than common stock. I looked at bonds, cash flows within a company,and even monetary assets.
    With this background, I started working on a formula for the value of a warrant. The equation I wrote said simply that the expected return on a warrant should depend on the risk of the warrant in the same way that it does for a common stock. I used the capital asset pricing model to writedown how the discount rate for a warrant varies with time and the stock price. This gave me a differential equation for the warrant formula. I spent many days trying to find the solution to that equation.I havean AB in physics, but I didn’t recognize the equation as a version of the wellknown“heat equation,” which has well-known solutions. So I laid the problem aside and worked on other things.
    In 1969 Scholes came to MIT. I had earlier set up myown office near Boston, where I did both research and consulting in finance. We started working together on the problem and began to make rapid progress. Rathersuddenly,the solution came to us. Case M. Sprenkle4 had found a warrant formula using assumptions related to ours. By making some substitutions in his formula,we obtained the solution to our equation.
    As we worked on the paper, we had long discussions with Robert C. Merton, who was also working on the valuation of options.5 He suggested a method for deriving the formula that became the principal derivation in the paper.
    We sent the first draft of our paper to the Journalof Political Economy and promptly got back a rejection letter. We then sent it to the Review of Economics and Statistics where it was also rejected.
    Merton Miller and Eugene Fama at the University of Chicago then took an interest in the paper and gave us extensive comments on it.They suggested to the Journal of Political Economy that perhaps the paper was worth more serious consideration. The Journal then accepted the paper, conditional on further revisions suggested by the referees. Meanwhile,we had written anarticle on the results of some empirical tests of the formula that appeared in May 1972 in the Journal of Finance.6 The Classic paper was finally published by the Journal of Political Economy in May of 1973.
    The paper is cited frequently because options appear so often in problems in finance and because the methods we used have been used to value many other derivative securities.

I. Sharpe W F. Capital asset prices: a theory of market equilibrium under conditions of risk. I. Finance 19:425-42. 1964.
(Cited 1,035 times since 1966.) ISee also: Sharpe WF. Citation Classic. Conternporars clossic5 in the social and
behavioral sciences. Philadelphia: tSl Press. 1987. p. 320.1
2. Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets.
Rev. Econ. Statist. 477f,5.53 1965. (Cited 715 times since 1966.)
3. MossinJ. Equilibrium tn a capital asset market. Economerrica 34:768-83. 1966. (Cited 410 tImes.)
4. Sprenkle C M. Warrant prices as indicators of expectations and preferences. Yale Econ. Essays 1:178-231. 1961.
5. Merton K C. Theory of rational option pricing. Bell). Econ. Manage. Sci. 4:141-83. 1973. (Cited 290 times.)
6. Black F & Schoks ‘St. The valuation of option contracts and a test of market efficiency. I. Finance 27:399-417. 1972.
(Cited 95 times.)
CC/S
©1987 by ISI® CURRENT CONTENTS®

     带着期待走进四月，本以为峰回路转，不料乐极生悲，一场生日薄宴之后，形势急转直下。

     期货行业有个说法，“期货交易商最大的错误是把一切寄托于希望之上”；经历这个月的思想变迁，对这句话有了真切的体会；这其实说的是一个思想独立性的问题，即人的判断是否能够独立于做出判断时所处的思想状态；人是有思想，有情绪，有倾向性的，如果这些因素不知不觉中成为决策的背景，那么所做出的决策就是寄托于希望之上的，也就不是客观的。

     另外思想、情绪和倾向性是会变化的，这可以归结于思考的角度、立场或所处的环境等其他因素的变化，这些因素的变化并不完全由人来掌握（虽然人们讲究深思熟虑，但只可无限趋近，而不可枚举）。因此在某种情绪下做出的决策在另外一种情绪下就可能是对立的，这也可成为决策者验证自己决策客观性的标准。

     但是决策环境等因素不完全由人来掌控并不等于决策的客观性无从达到，解决的办法就是将这两者的联系彻底斩断，当然如果事情如此简单这一切也就不成问题了。对于解决之道，现在只有一些若隐若现的体会和想法，还不是很成熟，还得等自己彻底走出眼下的迷局之后或许才能有清晰的认识。

     今天去爬香山，结束这个魔鬼四月！