期货期权及其衍生品配套课件(全34章)Ch12.ppt
《期货期权及其衍生品配套课件(全34章)Ch12.ppt》由会员分享,可在线阅读,更多相关《期货期权及其衍生品配套课件(全34章)Ch12.ppt(29页珍藏版)》请在三一文库上搜索。
1、Wiener Processes and Its Lemma,Chapter 12,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,1,媳炮浴但名屿疾汤殖叼噬船维倦堰洋豫恕逗闺俘姬迄唬迂赘瘩得睬殃陕喉期货期权及其衍生品配套课件(全34章)Ch12Options, Futures, and Other Derivatives, 7e,Types of Stochastic Processes,Discrete time; discrete variabl
2、e Discrete time; continuous variable Continuous time; discrete variable Continuous time; continuous variable,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,2,逮雍冕夺至枢触骑牙怨酥桅岳骤撂讹绦罩病挪兰缄匪骸摇战痢翟鬼警颓刮期货期权及其衍生品配套课件(全34章)Ch12Options, Futures, and Other Derivative
3、s, 7e,Modeling Stock Prices,We can use any of the four types of stochastic processes to model stock prices The continuous time, continuous variable process proves to be the most useful for the purposes of valuing derivatives,Options, Futures, and Other Derivatives, 7th International Edition, Copyrig
4、ht John C. Hull 2008,3,奉重待巷绣哑糊姨产陨篷裤科椒誓隆憋悄绵则釜勉跺还拄畴捻挚拦搞视啡期货期权及其衍生品配套课件(全34章)Ch12Options, Futures, and Other Derivatives, 7e,Markov Processes (See pages 259-60),In a Markov process future movements in a variable depend only on where we are, not the history of how we got where we are We assume that stoc
5、k prices follow Markov processes,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,4,伙旧课啄饱溉踞呸川昏贿亩液侄鲁羔渊晾掘姨遭吞纫宙淘茸喝第辑偏喷振期货期权及其衍生品配套课件(全34章)Ch12Options, Futures, and Other Derivatives, 7e,Weak-Form Market Efficiency,This asserts that it is impossible to prod
6、uce consistently superior returns with a trading rule based on the past history of stock prices. In other words technical analysis does not work. A Markov process for stock prices is consistent with weak-form market efficiency,Options, Futures, and Other Derivatives, 7th International Edition, Copyr
7、ight John C. Hull 2008,5,蜒幕捍环割沿豫攘坏啮擒料枕胺艰瞻昔醛贬眯好旧窃撕拇芯耿撼场绞筏账期货期权及其衍生品配套课件(全34章)Ch12Options, Futures, and Other Derivatives, 7e,Example of a Discrete Time Continuous Variable Model,A stock price is currently at $40 At the end of 1 year it is considered that it will have a normal probability distribution
8、 of with mean $40 and standard deviation $10,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,6,余校烈假廷傻骸耘存泰折甄扇阿渐级流捧踢瑶拥拼茎炸锄妓硷墓艇馈慕衡期货期权及其衍生品配套课件(全34章)Ch12Options, Futures, and Other Derivatives, 7e,Questions,What is the probability distribution of the stoc
9、k price at the end of 2 years? years? years? Dt years? Taking limits we have defined a continuous variable, continuous time process,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,7,糖狭拢仕渝蜂插孔螟掌宛再阑掇吼觅煮名贺颧获曝呻涪祟呢抉竹牟詹尧伐期货期权及其衍生品配套课件(全34章)Ch12Options, Future
10、s, and Other Derivatives, 7e,Variances & Standard Deviations,In Markov processes changes in successive periods of time are independent This means that variances are additive Standard deviations are not additive,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hul
11、l 2008,8,官伪溉减简大痪仲箔质紧躬暂篓缮泛市饯堡虾内恍桐撇噶存辩搪具贺址后期货期权及其衍生品配套课件(全34章)Ch12Options, Futures, and Other Derivatives, 7e,Variances & Standard Deviations (continued),In our example it is correct to say that the variance is 100 per year. It is strictly speaking not correct to say that the standard deviation is 10
12、per year.,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,9,蜀戈主疲解珍蠕卷埠医继各晓誓未脊角阳雨附惟缆小洼凰尼葵拼苫作翰含期货期权及其衍生品配套课件(全34章)Ch12Options, Futures, and Other Derivatives, 7e,A Wiener Process (See pages 261-63),We consider a variable z whose value changes continuously
13、 Define f(m,v) as a normal distribution with mean m and variance v The change in a small interval of time Dt is Dz The variable follows a Wiener process if The values of Dz for any 2 different (non-overlapping) periods of time are independent,Options, Futures, and Other Derivatives, 7th Internationa
14、l Edition, Copyright John C. Hull 2008,10,苦敬油栈舱哦豺措孩尘僳遗衍嘿细弊鸦汁捎晤姆娠晾堕反谭殆凌淆靖缚渺期货期权及其衍生品配套课件(全34章)Ch12Options, Futures, and Other Derivatives, 7e,Properties of a Wiener Process,Mean of z (T ) z (0) is 0 Variance of z (T ) z (0) is T Standard deviation of z (T ) z (0) is,Options, Futures, and Other Deriva
15、tives, 7th International Edition, Copyright John C. Hull 2008,11,涅筷狱躲焊纤驻招梦雷澎卖汛捷费瘸皖枷漳页雹醉谍舞瘪捂怎讳孪蔗裳佩期货期权及其衍生品配套课件(全34章)Ch12Options, Futures, and Other Derivatives, 7e,Taking Limits . . .,What does an expression involving dz and dt mean? It should be interpreted as meaning that the corresponding express
16、ion involving Dz and Dt is true in the limit as Dt tends to zero In this respect, stochastic calculus is analogous to ordinary calculus,Options, Futures, and Other Derivatives, 7th International Edition, Copyright John C. Hull 2008,12,寿贪趟篇鹊叛汹万磷瓤务火瀑笆敛埔霉冈黑弊贿掂捐则围功源诅简全连噬期货期权及其衍生品配套课件(全34章)Ch12Options, F
17、utures, and Other Derivatives, 7e,Generalized Wiener Processes (See page 263-65),A Wiener process has a drift rate (i.e. average change per unit time) of 0 and a variance rate of 1 In a generalized Wiener process the drift rate and the variance rate can be set equal to any chosen constants,Options,
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 期货 期权 及其 衍生 配套 课件 34 Ch12
链接地址:https://www.31doc.com/p-5832280.html