由买买提看人间百态

boards

本页内容为未名空间相应帖子的节选和存档,一周内的贴子最多显示50字,超过一周显示500字 访问原贴
Quant版 - get confused. anyone help me
相关主题
一个 interatedBM 问题drift term and martingale
brownian motion, got an answer but do not feel confident. H[合集] 请问Martingale和Markov属性之间的联系和区别?
这个process叫什么名字(stochastic)问一个martingale的问题
一道题local martingale
面试题+website collecting interview problems. a very good one, imo.An interview question about straddle
问一个Shreve V2上的问题我来推荐Stochastic Calculus的书
贴个概率题[合集] 一个弱问题:What does Brownian Motion converge to?
A martingale question[合集] 贴道题,大家一块做做
相关话题的讨论汇总
话题: price话题: get话题: stock话题: what话题: me
进入Quant版参与讨论
1 (共1页)
x********o
发帖数: 519
1
stock price is $ 10 with zero interest rate. When the stock hits $15,
you get $1. What is the price of this
option. If the stock price is $ 20, what is the price of the option.
for the first part, we can use exponential martingale to get the answer 2/3
for the second part, it seems that the same approach does not work. my
intuition is that the answer should be
1. but how to show it rigorously? correct me if I am wrong. thanks.
1 (共1页)
进入Quant版参与讨论
相关主题
[合集] 贴道题,大家一块做做面试题+website collecting interview problems. a very good one, imo.
一道新的布朗题问一个Shreve V2上的问题
[合集] interview: Random Walk questions贴个概率题
读精华区后感A martingale question
一个 interatedBM 问题drift term and martingale
brownian motion, got an answer but do not feel confident. H[合集] 请问Martingale和Markov属性之间的联系和区别?
这个process叫什么名字(stochastic)问一个martingale的问题
一道题local martingale
相关话题的讨论汇总
话题: price话题: get话题: stock话题: what话题: me