期權(quán)期貨考試大題-資料下載頁
2025-03-25 04:07本頁面
【正文】 .Similarly, by We get the varaince of is 十一、 In a riskneutral world, suppose stock prices follow geometric Brownian motion1) What is the process followed by the variable by Ito’s lemma? Show that also follows geometric Brownian motion.2) The expected value of is . What is the expected value of ?4) Using riskneutral valuation to value the derivative, whose payoff at maturity is 十二、Consider the price of a stock, S, which is the following processwhere is a standard Brownian motion. For the first three years, 。 for the next three years, . If the initial value of stock price is $10, what is the expect value of the stock price at the end of year 6?The change in S during the first three years has the probability distribution The change in S during the next three years has the probability distribution The probability distribution of the change is therefore Since the initial value of the variable is 10, , the expect value of the stock price at the end of year 6 is 25.
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