b***k
发帖数: 2673 | 1 ☆─────────────────────────────────────☆
bluecollar (ihateNSC) 于 (Tue Dec 4 16:33:49 2007) 提到:
For all examples assume a cash dividend paying stock with the following s.d.
e between cash dividend payments.
ds/s = rdt + sigma*dw
where r = riskless rate , sigma = volatility, dw = Brownian motion
1. What is the value today (t) of a contract that at some maturity (T) pays
the inverse of the stock price observed at the maturity?
a) How would this contract be hedged? Explain any drawbacks of |
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