[其他] [求助]请教，鞅定价模型和B-S模型的关系究竟怎么说呢？ [推广有奖]

11楼

MaggieWWJ 发表于 2008-6-12 16:27:00

很有收获

12楼

lawrencexp 发表于 2008-6-13 06:02:00

B-S could be derived by non-arbitrage claim.You do not need to know anything about martingale to get this. Please take a look at Merton's paper.

Mathematically speaking, martingale is the math expression of non-arbitrage claim.

So martingale is the essense, while B-S is a concrete example.

13楼

lijing200720 发表于 2012-1-8 16:07:08

最后一位是真谛啊~~~~~~~

14楼

yger

发表于 2012-12-11 22:07:33

真高人多，长见识了！！！

15楼

xiangyanchun 发表于 2014-5-17 09:25:36

liusha2000 发表于 2008-6-11 18:33
我也来谈谈我的体会：BS公式：首先假设股票价格的运动遵循几何布朗运动，基于该股票价格的衍生证券其收益过 ...

说的好慢慢理解下

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