蒙特卡罗模拟中 dlnS 的公式是怎么得来的呢???
楼主: crazygod
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蒙特卡罗疑问 |
讲师 98%
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回帖推荐1) The below PDE is obtained using non-arbitrary and dynamic hedging.
=> dV/dt + (r-q)*S*dV/dS + 0.5*sigma^2*d2V/dS2 - rV = 0
2) The below SDE is derived from the above PDE using Feynman-Kay Theorem.
=> dS = (r-q)*S*dt + sigma*S*dX
3) The above SDE can be transformed to below form using Ito lemma, where F = lnS
=> dF = (r-q-0.5*sigma^2)dt + sigma*dX
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