4.布朗运动与伊藤公式.pptVIP

Chapter 4 Brownian Motion It? Formula Stochastic Process The price movement of an underlying asset is a stochastic process. The French mathematician Louis Bachelier was the first one to describe the stock share price movement as a Brownian motion in his 1900 doctoral thesis. introduction to the Brownian motion derive the continuous model of option pricing giving the definition and relevant properties Brownian motion derive stochastic calculus based on the Brownian motion including the Ito integral Ito formula. All of the description and discussion emphasize clarity rather than mathema