期权期货与其他衍生产品第九版课后习题与答案Chapter(.docVIP

E ( ST ? Se ? (T ?t var( ST ?S 2e2 ? (T ?t [e? 2 2 2 (T ?t ?1] Since var(ST ? E[(ST ] ? [ E(ST ] , it follows that E[(ST 2 ] ? var(ST ? [ E (ST ]2 so that E[( ST 2 ] ? S 2e2 ? (T ?t [e? 2 2 (T ?t ? 1] ? S 2e2 ? (T ?t ?S 2e(2 ? ?? (T ?t In a risk-neutral world ? ? r so that ? [(S 2 ] ? S 2e(2 r ?? 2 (T ?t E T Using risk-neutral valuation, the value of the derivative security at time t is ? [(S 2 ] e ? r (T ?t E T ? S 2e(2 r ?? 2 (T ?t ? r (T ?t e ? S 2e( r ?? 2 (T ?t (b If: f ? S 2 e( r ?? 2 (T ?t 2 ?f ?? S 2 (r ?? 2 e( r ?? (T ?t ?t 2 ?f ?2 Se( r ?? (T ?t ?S 2 ?2 f ?2e( r ?? (T ?t 2 ?S The l