p******5
发帖数: 138 | 1 the neutral probability is that
p = (e^{r t} - d) / (u - d)
If e^{r t} > u, then p > 1 .
In this case, how do we use the binomial model? |
l*******l
发帖数: 248 | 2 u是go up的prob，u<1
e^{r t}明显>=1
【在 p******5 的大作中提到】
: the neutral probability is that
: p = (e^{r t} - d) / (u - d)
: If e^{r t} > u, then p > 1 .
: In this case, how do we use the binomial model?
|
l*****i
发帖数: 3929 | 3 那时把钱统统存银行
【在 p******5 的大作中提到】
: the neutral probability is that
: p = (e^{r t} - d) / (u - d)
: If e^{r t} > u, then p > 1 .
: In this case, how do we use the binomial model?
|
l*****i
发帖数: 3929 | 4 u is NOT probability!
【在 l*******l 的大作中提到】
: u是go up的prob，u<1
: e^{r t}明显>=1
|
a********e
发帖数: 508 | 5 you are basically assume that a risky asset always earn return
less than risk free asset
why would such asset exist anyway?
【在 p******5 的大作中提到】
: the neutral probability is that
: p = (e^{r t} - d) / (u - d)
: If e^{r t} > u, then p > 1 .
: In this case, how do we use the binomial model?
|
l*******l
发帖数: 248 | 6 u是啥？
【在 l*****i 的大作中提到】
: u is NOT probability!
|
p******5
发帖数: 138 | 7 Usually U is e^{\delta \sqrt(t)} |
A*******u
发帖数: 66 | 8 In order to rule out arbitrage opportunities, we must assume
d
【在 p******5 的大作中提到】
: the neutral probability is that
: p = (e^{r t} - d) / (u - d)
: If e^{r t} > u, then p > 1 .
: In this case, how do we use the binomial model?
|
A*******u
发帖数: 66 | 9 u is defined as S_1(H)/S_0, called the up factor.
【在 l*******l 的大作中提到】
: u是啥？
|
m*********g
发帖数: 646 | 10 RE this.
And one may want to go over all the basics first.
【在 A*******u 的大作中提到】
: In order to rule out arbitrage opportunities, we must assume
: d
|
a*********r
发帖数: 139 | 11 Agree. c.f. Shreve Vol I.【 在 AngelerXu (磁感强度) 的大作中提到: 】 |
s****p
发帖数: 19 | 12 In that case there's an arbitrage and you do not use binomial model, which
assumes arbitrage free.
【在 p******5 的大作中提到】
: the neutral probability is that
: p = (e^{r t} - d) / (u - d)
: If e^{r t} > u, then p > 1 .
: In this case, how do we use the binomial model?
|
d***3
发帖数: 63 | 13 Yeah, You're right. Even I who do not major in FM know this.
When e^{rt}>u, does that mean the riskless interest rate is so high that
no one will invest in the stock?? I'm not sure.
【在 l*****i 的大作中提到】
: u is NOT probability!
|
