金融衍生品定价理论第三章(binomialtreemethods--discretemodelsofoptionpricing)-公开课件（讲义）.pptVIP

Example cont. Over the same period, due to the risk-free interest (dividend), 1Euro in the local bank can grow to where q is the risk-free interest rate in a German bank. Example cont.- Therefore the value of 1 Euro in changes as Let B be a risk-free Bank of China bond. Its change in is where and r is the risk-free interest rate in BOC bank. Example cont.-- In each interval , apply Δ-hedging strategy, i.e. to construct a portfolio and select Δ, such that is risk-free. Example cont.--- S