A*******u
发帖数: 66 | 1 记得有这么一个结论：The futures price is a martingale under the risk-neutral
measure. 但自己推出来却不对，请高人看看错在哪里：
Suppose dS=rSdt+\sigma*SdW, where W is a BM under RN measure.
Then dF=d(S*exp(rt))=2rFdt+\sigma*FdW
由于有drift项，表明F在RN measure下不是martingale，与之前结论矛盾。
不胜感激！ | u****g
发帖数: 402 | 2 F(t,T) = S(t)*exp(T-t)
then differentiate F(t,T) with respect to t, you will find it is martingale. | A*******u
发帖数: 66 | 3 Got it.
Thanks a lot urqing!!
martingale.
【在 u****g 的大作中提到】
: F(t,T) = S(t)*exp(T-t)
: then differentiate F(t,T) with respect to t, you will find it is martingale.
| l***u
发帖数: 91 | 4 this is forward, not future.
martingale.
【在 u****g 的大作中提到】
: F(t,T) = S(t)*exp(T-t)
: then differentiate F(t,T) with respect to t, you will find it is martingale.
| A*******u
发帖数: 66 | 5 I forgot to say in this case r is a constant, so forward price=futures price.
【在 l***u 的大作中提到】
: this is forward, not future.
:
: martingale.
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