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期权,期货及其衍生品第27弹.ppt


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TheEquivalentMartingaleMeasureResult(Page635-36)
Options,Futures,andOtherDerivatives,8thEdition,Copyright©
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ForwardRiskNeutrality
Wewillrefertoaworldwherethemarketpriceofriskisthevolatilityofgasaworldthatisforwardriskneutralwithrespecttog.
IfEgdenotesexpectationsinaworldthatisFRNwrtg
Options,Futures,andOtherDerivatives,8thEdition,Copyright©
*
AlternativeChoicesfortheNumeraireSecurityg
MoneyMarketAccount
Zero-couponbondprice
Annuityfactor
Options,Futures,andOtherDerivatives,8thEdition,Copyright©
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MoneyMarketAccount astheNumeraire
Themoneymarketaccountisanaccountthatstartsat$1andisalwaysinvestedattheshort-termrisk-freeinterestrate
Theprocessforthevalueoftheaccountis
dg=rgdt
-neutralworldwherel=0
Options,Futures,andOtherDerivatives,8thEdition,Copyright©
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MoneyMarketAccount continued
Options,Futures,andOtherDerivatives,8thEdition,Copyright©
*
Zero-CouponBondMaturingattimeTasNumeraire
Options,Futures,andOtherDerivatives,8thEdition,Copyright©
*
ForwardPrices
InaworldthatisFRNwrtP(0,T),theexpectedvalueofasecurityattimeTisitsforwardprice
Options,Futures,andOtherDerivatives,8thEdition,Copyright©
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InterestRates
InaworldthatisFRNwrtP(0,T2)theexpectedvalueofaninterestratelastingbetweentimesT1andT2istheforwardinterestrate
Options,Futures,andOtherDerivatives,8thEdition,Copyright©
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AnnuityFactorastheNumeraire
Options,Futures,andOtherDerivatives,8thEdition,Copyright©
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  • 页数23
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  • 上传人我是药神
  • 文件大小1.23 MB
  • 时间2022-12-05