第17章期货期权教程.pptVIP

* * * * * * * * * * * * * * * * * Generalization(continued) Substituting for D we obtain ? = [ p ?u + (1 – p )?d ]e–rT where (17-6） p在风险中性世界里期货价格上涨的概率。 * 17.7 期货价格在风险中性世界的漂移率Growth Rates For Futures Prices A futures contract requires no initial investment In a risk-neutral world the expected return should be zero The expected growth rate of the futures price is therefore zero The futures price can therefore be treated like a stock paying a dividend yield of r 在风险中性世界里，期货价格的漂移率为0. 一个具有0漂移率的随机过程被称为鞅。 * 在风险中性世界里，一个关