综合无偏固定期权定价包四.pdfVIP

SupposeTisafixedpositiveinteger.DenotebyQ(i)the

priceofcalloptionattimeiT(i=0,1,2,3,...)withmature

timeat(i+1)TandstrikepriceK(i).Thentheoption

buyersprofitattime(i+1)Tis

+

C(i+1)=(S((i+1)T)-K(i))-Q(i)

Ifwedesignasequenceof{(K(i),Q(i))}andsome

correspondingtradingamount{a(i)}ofsharessuchthat

{a(i)C(i)}formastationarysequencewithconvergent

mean,thenwecancheckifitsmeanis“unbiased”?

Wearegoingtoproposeamethodtogetzeromean

whichisneutraltobothbuyerandsellersides.。

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