b***k
发帖数: 2673 | 1 ☆─────────────────────────────────────☆
Ithink (牛夫人) 于 (Tue Mar 4 06:03:05 2008) 提到:
An option on a underlying stock S for 2 years. The payoff is S_2/S_1, where
S_2 is the stock price at the end of the 2nd year, and S_1 is the price at
the end of the 1st year. What would be the option price and how to hedge it?
Got screwed in this question...
Thanks.
☆─────────────────────────────────────☆
ryou (zzz) 于 (Tue Mar 4 06:50:23 2008) 提到:
if S follows log normal distribution, so does S_2/S_ | n**x
发帖数: 6 | 2 Since this option can be perfectly hedged at time t1 by buying (1/S1) units
of the stock, which costs 1 (because the price of the stock at time t1 is S1
). This means the option price at time t1 equals to 1, so the price at time
t0 is exp(-r(t1-t0)). This means the option can be perfectly hedged by
holding a riskless bond today which matures at time t1. |
|
