期权期货及其他衍生产品第9版赫尔_7.pptVIP

* * Taking Limits Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Application of It?’s Lemmato a Stock Price Process Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Examples Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 Chapter 14Wiener Processes and It?’s Lemma Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Stochastic Processes Describes the way in which a variable such as a stock price, exchange rate or interest rate changes through time Incorporates uncertainties Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Example 1 Each day a stock price increases by $1 with probability 30% stays the same with probability 50% reduces by $1 with probability 20% Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Example 2 Each day a stock price change is drawn from a normal distribution with mean $0.2 and standard deviation $1 Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * Markov Processes (See pages 302-303) In a Markov process future movements in a variable depend only on where we are, not the history of how we got to where we are Is the process followed by the temperature at a certain place Markov? We assume that stock prices follow Markov processes Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014 * We