[讨论交流] 麻烦各位解答几道期权的题目 [推广有奖]

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stoneyl 发表于2楼查看完整内容

Maybe just some hints....... dont have time for details Q1: Buy call short put, short stock and take risk free loan at t and you should be able to make a arbitrage profit of eps Q3: Write first w(t(i+1)) as w(t(i)) + (w(t(i+1)) - w(t(i)) ) Q2: use Q3's result and expand (Q(t) - T)^2 Q4: Yes, because Y(t) Should have 0 drift and be a martingale Q5: Price should be just P*Prob(S(T)>K) = P*N( ...

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stoneyl 发表于 2013-7-16 11:11:29

Maybe just some hints....... dont have time for details

Q1: Buy call short put, short stock and take risk free loan at t and you should be able to make a arbitrage profit of eps
Q3: Write first w(t(i+1)) as w(t(i)) + (w(t(i+1)) - w(t(i)) )
Q2: use Q3's result and expand (Q(t) - T)^2
Q4: Yes, because Y(t) Should have 0 drift and be a martingale
Q5: Price should be just P*Prob(S(T)>K) = P*N(d1)
Q6: Apply Ito's lemma twice should do the job.....