h*****r
发帖数: 1052 | 1 Consider a digital option with S0 = 100, your payoff is $1 if the stock
price is greater than $120 after 1 year, otherwise 0. This option's price
is 35 cents.
Consider another option also with S0=100, your payoff is $1 if the stock
price is ever greater than $120 from now to 1 year later. How much is this
option?
想请教一下如何用reflection原理来想这个问题，谢谢 | c****o
发帖数: 1280 | 2 Is interest rate zero? If it is zero, then under the risk neutral measure,
it is a brownian motion(multiply \sigma) They according to the reflection
principle of brownian motion, if it achieve $120 before 1 year, then it has
the same probability that it will be end up with >=$120 or <=$120(p(s_1=120=
0), so if the second option got 1, then with 0.5 chance the first one got 1,
if the second option got 0, the first one has to be 0 too, so if the first
one is .35, the second option is 0.70?????
does it make sense?
【在 h*****r 的大作中提到】
: Consider a digital option with S0 = 100, your payoff is $1 if the stock
: price is greater than $120 after 1 year, otherwise 0. This option's price
: is 35 cents.
: Consider another option also with S0=100, your payoff is $1 if the stock
: price is ever greater than $120 from now to 1 year later. How much is this
: option?
: 想请教一下如何用reflection原理来想这个问题，谢谢
| h*****r
发帖数: 1052 | 3 谢谢版主帮我改题目
是的，忘说了，interest rate = 0, dividends = 0
你的答案也是对的
请问哪里有具体讲reflection principle的参考材料呢？谢谢
has
120=
1,
first
【在 c****o 的大作中提到】
: Is interest rate zero? If it is zero, then under the risk neutral measure,
: it is a brownian motion(multiply \sigma) They according to the reflection
: principle of brownian motion, if it achieve $120 before 1 year, then it has
: the same probability that it will be end up with >=$120 or <=$120(p(s_1=120=
: 0), so if the second option got 1, then with 0.5 chance the first one got 1,
: if the second option got 0, the first one has to be 0 too, so if the first
: one is .35, the second option is 0.70?????
: does it make sense?
| c****o
发帖数: 1280 | 4 I think shreve's book have a very nice explanation.
he treated both discrete and continuous cases, it should be nice reference.
【在 h*****r 的大作中提到】
: 谢谢版主帮我改题目
: 是的，忘说了，interest rate = 0, dividends = 0
: 你的答案也是对的
: 请问哪里有具体讲reflection principle的参考材料呢？谢谢
:
: has
: 120=
: 1,
: first
| n****e
发帖数: 629 | 5 我最早是从钱德拉塞卡的stochastic problems in physics and astronomy里学的
reflection principle...当时觉得这办法真nb 一下子就记住了 hehe |
|
