r*****t
发帖数: 286 | 1 ☆─────────────────────────────────────☆
mcfly (mcfly) 于 (Wed Jan 31 09:53:34 2007) 提到:
看到一处提到commodity option pricing里面，underlying 比如像futures, power遵守
driftless diffusion process. 这个为什么是driftless 的呢？John Hull里面好像没
这个说阿？是因为holding cost的关系吗？
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scarface (人生犹如一场电影) 于 (Wed Jan 31 09:57:43 2007) 提到:
可能是因为future已经priced in expected return of underlying.
the expected return of future is 0
遵守
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zdg (zdg) 于 (Wed Jan |
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x****j
发帖数: 2873 | 2 美国肯塔基和印第安纳州都有喀斯特地貌。
bryce canyon属于丹霞地貌，这个中国根本没法比。
lz真的有太多小将的偏见。
这个是美国有喀斯特地貌的list.
* Bluegrass region of Kentucky
* Carlsbad Caverns National Park, New Mexico
* Central Pennsylvania
* Cumberland Plateau in Middle Tennessee
* Deschutes River basin, Oregon
* Driftless Area of southwest Wisconsin, southeast Minnesota, northeast Iowa and northwest Illinois
* Florida peninsula.
* Germany Valley Karst Area, West Virginia
* Grassy Cove Karst Area, Tennessee
* Grea... 阅读全帖 |
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x****j
发帖数: 2873 | 3 您不是照样美国完全没有喀斯特地貌的大言不惭！
比起开帖的您来说，俺这个太小菜了。
美国有喀斯特地貌的list，这个您不是满世界的找着要吗。
* Bluegrass region of Kentucky
* Carlsbad Caverns National Park, New Mexico
* Central Pennsylvania
* Cumberland Plateau in Middle Tennessee
* Deschutes River basin, Oregon
* Driftless Area of southwest Wisconsin, southeast Minnesota, northeast
Iowa and northwest Illinois
* Florida peninsula.
* Germany Valley Karst Area, West Virginia
* Grassy Cove Karst Area, Tennessee
* Great Valley of ... 阅读全帖 |
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i****e
发帖数: 78 | 4 the measure was already changed such that the BM in GBM is driftless.
n |
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l*******g
发帖数: 13 | 5 Using no-arbitrage argument. |
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T*****w
发帖数: 802 | 6 sin(W_t) should not be martinagle.
I think your first condition is equivalent to check dX if it is driftless
Apply Ito lemma to sin(W_t)
d(sin(W_t) =cos(W)dW-1/2sin(W)dt --> has dt term ..
Instead: you can prove exp (t/2) sin(W_t) is martingale
Please correct me if I am wrong. |
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p*****k
发帖数: 318 | 7 this might a tautology:
my understanding is that with high dividend, it drives the option
price below its intrinsic value when it's deep-in-the-money,
(one way to see this is that Delta does not approach 1 fast enough
due to the extra exponential factor)
so there the time-value of the option becomes negative. since the
time-value approaches zero closer to the expiration, Theta becomes
positive.
i think sometimes ppl are also interested in the so-called
"driftless theta" by ignoring the discount |
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T*****w
发帖数: 802 | 8 好像也是以前MS的面試題了
Given an example of a martingale that is not a Markov process and an example
of a Markov process that is not a martingale
我在mathematically 能看出兩個的區別，但是班上大牛能不能給個清楚的解釋, 為什
麼兩個其實沒有關系了。 我怎麼覺得從定義上理解，Martingale 是Markov Process的一個
特例呢？ 去構造example的思路是什麼？
Markov Process：最重要的特點就是future is independent with history before time s!
Martingale 最重要的特點就是 driftless, ， 但是 it may depend on the history Ft?
我比較在和漿糊。。。
多謝～ |
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m******2
发帖数: 564 | 10 根据Martingale的理论，既然可以把S/e^r（T-t)做成Martingale
完全也可以把S的运动转成driftless，然后把synthetic call portfolio做成
Martingale吧？
这样就不可以么？
还是这样违反pde的解呢？ |
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d**t
发帖数: 183 | 11 那样的话你就不知道怎么discount了.
根据Martingale的理论，既然可以把S/e^r（T-t)做成Martingale完全也可以把S的运动
转成driftless，然后把synthetic call portf........
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m*********g
发帖数: 646 | 12 任何tradeble的ASSET都可以做 numeraire 问题只是你这样做有没有意义。
把S(t)换成driftless的话换个 measure 就可以。 问题还是有没有意义。
by 有没有意义， 意思是把问题变得简单，还是变得复杂。或者对于要解决的问题又没有帮助。 |
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r**a
发帖数: 536 | 13
What is this? S is not driftless, how can you assume this?
Actually S_n can be viewed as a Brownian motion W(t) with drift 0.5*t. |
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