金融衍生工具市场程序.ppt

Generalization(continued) Consider the portfolio that is long D shares and short 1 derivative The portfolio is riskless when S0uD – ?u = S0dD – ?d or S0uD – ?u S0dD – ?d  Generalization(continued) Value of the portfolio at time T is S0uD – ?u Value of the portfolio today is (S0uD – ?u)e–rT Another expression for the portfolio value today is S0D – f Hence ? = S0D – (S0uD – ?u )e–rT  Generalization(continued) Substituting for D we obtain ? = [ p?u + (1 – p)?d ]e–rT where  p as a Probability It is natural to interpret p and 1-p as