Bernouilli 随机变量: 定义: An individual trial has only two possible outcomes.一个实验只有两个可能的结果,分别定义为成功(success)和失败(failure)。 二项分布 Binomial Distribution: 定义: the probability of having ex…
2 Binomial Model and Option Pricing 二叉树模型与期权定价 文章目录 2 Binomial Model and Option Pricing 二叉树模型与期权定价单期二叉树模型 One-step Binomial Model风险与无风险资产单期二叉树模型与无套利条件无套利定价 No Arbitrage Pricing风险中性定价 Risk Neutr…
6. Binomial Trees
6.1 One-step Binomial Trees
6.1.1 Definition of Binomial Model
Binomial model: after one period, the value of the underlying asset will either go up to S u S_u Su or go down S d S_d Sd.
6.1.2 No-arbitrage Argument
Law of one p…