期权期货及其衍生品第27弹.ppt

* * * * * * * * * * * * * * * * * * Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Chapter 27Martingales and Measures Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Derivatives Dependent on a Single Underlying Variable Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Forming a Riskless Portfolio Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Market Price of Risk (Page 632) This shows that (m – r )/s is the same for all derivatives dependent on the same underlying variable, q We refer to (m – r )/s as the market price of risk for q and denote it by l Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Extension of the Analysisto Several Underlying Variables(Equations 27.12 and 27.13, page 634) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Martingales (Page 635) A martingale is a stochastic process with zero drift A variable following a martingale has the property that its expected future value equals its value today Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Alternative Worlds Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * The Equivalent Martingale Measure Result (36) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Forward Risk Neutrality We will refer to a world where the market price of risk is the volatility of g as a world that is forward risk neutral with respect to g. If Eg denotes expectations in a world that is FRN wrt g Options, Futures, and Other Derivatives, 8