x*****i
发帖数: 287 | 1 If you assume the underlying stock price follows Brownian motion, and
geometric Brownian motion, it is like normal distribution instead of
log normal distribution, how does the corresponding option price change?
Thanks a lot! |
d********t
发帖数: 9628 | 2
cheaper call 'cause of the log normal behavior of S(t)
【在 x*****i 的大作中提到】
: If you assume the underlying stock price follows Brownian motion, and
: geometric Brownian motion, it is like normal distribution instead of
: log normal distribution, how does the corresponding option price change?
: Thanks a lot!
|
D********n
发帖数: 978 | 3 是假设implied vol不变问价格怎么变么？
【在 x*****i 的大作中提到】
: If you assume the underlying stock price follows Brownian motion, and
: geometric Brownian motion, it is like normal distribution instead of
: log normal distribution, how does the corresponding option price change?
: Thanks a lot!
|
l*******1
发帖数: 113 | 4 dont think there is a clear cut answer.
There are formulas for the call option prices when the underlying falls ABM.
Crack derived it in his books.
For at the money options, the two formulas will give simliar answers.
1/sqrt(2pi)*S*vol*Sqrt(T) |
d********t
发帖数: 9628 | 5 Without doing the integration, it's hard to give an accurate answer during
an phone interview I guess.
ABM.
【在 l*******1 的大作中提到】
: dont think there is a clear cut answer.
: There are formulas for the call option prices when the underlying falls ABM.
: Crack derived it in his books.
: For at the money options, the two formulas will give simliar answers.
: 1/sqrt(2pi)*S*vol*Sqrt(T)
|
