第4章节期权定价跟运用资料.pptVIP

How to choose u and d * In binomial model, we assume q is probability of stock price up in real worlds. How to choose u and d * * * So, we find one solve of the equation In risk-neutral world, the return of securities must be r, which means Disscusion: Choosing u and d We have know neutral probability p for any step * u d 1 p 1-p We can get * Prove: in risk-neutral world Varian of a stock’s return in According to Geometry Brown motion * u d 1 p 1-p * Substituting for u and d, the terms of higher than 2 power are ignored. From Cox，Ross and Rubinstein(1979) 美式期权可以提前执行，提前执行从表面上看是一个非常微小的