D******4
发帖数: 47 | 1 For a European stock option, which has payoff max(S_T-K,0), then the BS
price would be:
C1 = SN(d1)-Kexp(-rT)N(d2).
On the other hand, we know the forward price of the stock at time T would
converges to the stock price, i.e. F_T=S_T, where F_T is the forward price.
Then the BS would give us:
C2 = FN(D1)-Kexp(-rT)N(D2).
I think these call prices should be the same. My question is, is there a
strictly proof to say C1=C2? (Can I assume the volatility used in the first
method be the same of the second method? I don't think so....)
Thanks very much. | D******4
发帖数: 47 | 2 or is there a logic flaw above? Thanks for clarify. | L**********u
发帖数: 194 | 3 去看看shreve书的第9章就明白了究竟什么是price了。
搞清楚了price的定义之后，你自己就明白你的问题了。呵呵 | D******4
发帖数: 47 | 4 Right. Thanks. I made a stupid mistake on numeriare.
【在 L**********u 的大作中提到】
: 去看看shreve书的第9章就明白了究竟什么是price了。
: 搞清楚了price的定义之后，你自己就明白你的问题了。呵呵
| w******i
发帖数: 503 | 5 what is the problem? what are D1, D2?
.
first
【在 D******4 的大作中提到】
: For a European stock option, which has payoff max(S_T-K,0), then the BS
: price would be:
: C1 = SN(d1)-Kexp(-rT)N(d2).
: On the other hand, we know the forward price of the stock at time T would
: converges to the stock price, i.e. F_T=S_T, where F_T is the forward price.
: Then the BS would give us:
: C2 = FN(D1)-Kexp(-rT)N(D2).
: I think these call prices should be the same. My question is, is there a
: strictly proof to say C1=C2? (Can I assume the volatility used in the first
: method be the same of the second method? I don't think so....)
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