技术说明no 7报告technicalnote7.pdfVIP

TechnicalNoteNo.7*

Options,Futures,andOtherDerivatives,NinthEdition

JohnHull

DifferentialEquationforPriceofaDerivative

onaFuturesPrice

SupposethatthefuturespriceFfollowstheprocess

dF=µFdt+σFdz(1)

wheredzisaWienerprocessandσisconstant.1BecausefisafunctionofFandt,it

followsfromIto’slemmathat

∂f∂f1∂2f22∂fdz(2)

df=∂FµF+∂t+2∂F2σFdt+∂FσF

Consideraportfolioconsistingof

−1:derivative

∂f

+:futurescontracts

∂F

DefineΠasthevalueoftheportfolioandlet∆Π,∆f,and∆FbethechangeinΠ,f,and

Fintime∆t,respectively.Becauseitcostsnothingtoenterintoafuturescontract,

Π=−f(3)

Inatimeperiod∆t,theholderoftheportfolioearnscapitalgainsequalto−∆ffromthe

derivativeandincomeof

∂f

∆F

∂F

fromthefuturescontract.Define∆Wasthetotalchangeinwealthoftheportfolioholder

intime∆t.Itfollowsthat

∂f

∆W=∆F−∆f

∂F

Thediscreteversionsofequations(1)and(2)are

∆F=µF∆t+σF∆z

and

∆f=∂f