jiawei5990 发表于 2014-11-1 10:24
非常抱歉 我也知道我表达的十分混乱。。。。
有些地方我已经弄明白了 就是还有一点 就是在建立回望期 ...
Well, let's say J(t) is the max value of S on interval [0, t] and the current time is t, the current stock price is S(t), and T is the option's expiry date. T>t
if J(t)=S(t) the probability of J(t) still be the max value at expiry will be zero, because current stock price=J(t), if the stock price goes up a little, J(t) will no longer be the max value. If J(t) is not the max value, the loopback's payoff at expiry will not be affected by it. So that's why it should show 0 sensitivity.
If you have other questions just let me know.