Options_Pricing - 1. 2. 3. 4. 5. 6. BSM BS 2...

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期期 2 第第第第 1. 第第第第 2. BSM 第第第第第第 3. 第第第第第第 4. B-S 第第第第第第 5. 第第第第第第第第第第第第第第第第第第 6. 第第第第第第第第第第第第第第第第
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期期 3 第第第第第第 (Markov process) 1. 第第第第第第第第第第第第第第第第第第第第第第 2. 第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第 第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第第 第第第第第第第第第第第第第第第第第第第第第第第
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期期 4 Wiener 第第 ( 第第第第 )—— 第第 1. 第第第第第 第第第第第第第 0 第第第第第第第第 z t ε ∆ = 2. 第第第第第第第第第第第第第第第第第第第 Wiener 第第第 Markov 第第 t
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期期 5 Wiener 第第 ( 第第第第 )—— 第第第第 1. Wiener 第第 ( 第第第第第 ) 第第第 第第第第第第第 0 第第第第第第第第 1. 第第第第第第第第第第第第第第第第第第 2. 第第第第第第第第 z 第第第第第第第第第第第第第第第第 ( 29 ( 29 ( 29 1 0 N i i z T z t N T t ε = - = = T
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期期 6 第第 Wiener 第第 1. x 第第第 Wiener 第第第第第 第第第第 a 第第第 b 第第第 1. x 第第第 Wiener 第第 第第 第第第第第第第第第第 第第第第 dx adt bdz = + ( 29 ( 29 0 x T x - b T aT
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期期 7 Ito 第第 1. x Ito 第第第第第 2. Ito 第第第 G x t 第第第第第第第第第第第第第第 第第第 G 第第 Ito 第第 2 2 2 1 2 G G G G dG a b dt bdz x t x x = + + + ÷ ( 29 ( 29 , , dx a x t dt b x t dz = +
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期期 8 Ito 第第——第第第第第第第第第 1. 第第第第第第第第第第第第第第第第第第 2. 第第 Ito 第第第第第第 0 0 rT F S e = ( 29 r T t F Se - = ( 29 dF r Fdt Fdz μ σ = - +
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期期 9 第第第第 1. 第第第第第第第第第第第 第第第第第第第第第第第第第第 ( 第第 ) 第第第第第第第                                  . 2. S 第第第第第第第 dS dt dz S μ σ = + dS Sdt Sdz = + ( 29 , S t t S φ μ : 2 2 2 2 1 2 G G G G dG S S dt Sdz S t S S = + + + ÷
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期期 10 第第第第——第第第第第第 1. 第第第第第第第 2. 第第第第第第第第第第 ( 29 2 ln 2 dG d S S dt dz μ σ = - + @ ln G S = ( 29 ( 29 ( 29 2 0 ln , 2 T S S T T φ - : ( 29 ( 29 2 0 ln ln , 2 T S S T T + - : ( 29 0 T T E S S e = ( 29 2 2 2 0 var 1 T T T S S e e = -
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期期 11 第第第第——第第第第第 1. 第第第第第 ( 第第第第第 ) 2. 第第第第第第第第第第第 3. 第第第第第第第第第第第第第第第第第第第第第第第第第第第第 0 T T S S e η = 0 1 ln T S T S η= 第第第 2 , 2 T σ φ μ - ÷ : ( 29 , S t t S : μ
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This note was uploaded on 12/02/2011 for the course BUSINESS Finance taught by Professor Li during the Summer '09 term at Peking Uni..

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Options_Pricing - 1. 2. 3. 4. 5. 6. BSM BS 2...

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