c*******d
发帖数: 72 | 1 如果考虑dividend和interest都要有a%的tax,但是不考虑capital gain/loss的tax,
black-scholes是什么样的呢?
是不是就把interest term 和 dividend term修改一下,
r_new= log(exp(r_original t)(1-a%))=r_original +log(1-a%)
然后把新的interest rate代入black-scholes就可以了呢?
谢谢 | J*****n
发帖数: 4859 | 2 不是那么简单的，要看具体tax政策的。
曾经看过一篇文章。说英国政府突然改变derivative得税收政策，结果几个银行亏损无
数。 | c*******d
发帖数: 72 | 3 最简单的tax 政策, interest 和dividend 收税a%, capital gain/loss都不收税 | h**********k
发帖数: 168 | 4 not easy.. there are some papers on this... | T*C
发帖数: 14 | 5 That's a good topic these days. you can write a Phd thesis on it. For short
term traders, that's nothing. for long term fund, big time! |
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