看了只能说。好多问题都没思考过。。
在文中列出了8 个问题，并且一一做了解答
1.Why isn’t an option’s value just its discounted average payout?
2. Why don’t the statistical probabilities matter in the binomial model?
3. Why doesn’t the expected rate of return appear in the Black Scholes formula?
4. Is the hedging argument given in the Black Scholes paper correct? Why doesn’t one differentiate the
number of shares/options held in the hedge portfolio?
5. Can one hedge options in a trinomial model?
6. Can jumps be hedged in a continuous time model?
7. Why does the “market price of risk” appear in many stochastic interest rate or volatility models?
Why doesn’t it appear in the HJM model?
8. Which volatility should one hedge at - historical or implied?


里面几个问题还经常出现在各种面试之中。