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发帖数: 318 | 1 Breeze9, you might want to do some textbook reading in order to
appreciate numeraire change for this problem.
however, you could directly apply the usual risk-neutral pricing,
as x = log(S_T) ~ N(log(S_0)+r-sig^2/2,sig^2*T).
note the payoff is exp(x)*x, one wants: e^(-rT) * E[exp(x)*x],
the expectation is a simple Gaussian integral.
using stock as numeraire along with the r-n measure associated
with it is indeed a much simpler approach as native et al. pointed
out. the advantage is shown by cou |
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