ASM p378 14 - 金融分析師

By Ula
at 2010-11-02T19:34
at 2010-11-02T19:34
Table of Contents
Answer:
The forward price F is the geometric average of u and d
since u=Fe^sigma=de^2*sigma
p=(F-d)/(u-d)
為什麼不要用p=(e^rh-d)/(u-d)
兩者算出來的p也有些許不同
謝謝回答
--
The forward price F is the geometric average of u and d
since u=Fe^sigma=de^2*sigma
p=(F-d)/(u-d)
為什麼不要用p=(e^rh-d)/(u-d)
兩者算出來的p也有些許不同
謝謝回答
--
Tags:
金融分析師
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