期權(quán)期貨考試大題-閱讀頁
2025-04-09 04:07本頁面
【正文】 struct the tree are , 050250 十 If a stock price, S, follows geometric Brownian motion1) What is the process followed by the variable ? Show that also follows geometric Brownian motion.2)The expected value of ST is . What is the expected value of ?3) The varaince of ST is .What is the variance of ?4) Using riskneutral valuation to value the derivative, whose payoff at maturity is1)We now use Ito39。 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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