资源描述：
《03_Brownian_Motion》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、MotivationBinomialTreeFinancialEngineeringAssetPricingTheoremandBinomialTreeHaiLanDept.ofManagementSciencesShanghaiJiaoTongUniversity.September24,2012H.LanFinancialEngineeringMotivationBinomialTreeOutlineMotivationGeneralInformationonOptionDiscreteTimeAssetPricingBinomi
2、alTreeH.LanFinancialEngineeringMotivationGeneralInformationonOptionBinomialTreeDiscreteTimeAssetPricingSimpleOptionInASimpleWorldSupposeinaoneperiodsimpleworld,therearetwoassets:StockAandriskfreemoneyaccount.Attime0,thepriceofstockAisS0;attime1,ifmarketgoesup,thestockpr
3、iceisSu,otherwise,thepriceisSd.TheriskfreerateisRf.Inthissimpleworld,Ishortsellingispermitted;Inotransactioncost;H.LanFinancialEngineeringMotivationGeneralInformationonOptionBinomialTreeDiscreteTimeAssetPricingSimpleOptionInASimpleWorldSupposeinaoneperiodsimpleworld,the
4、rearetwoassets:StockAandriskfreemoneyaccount.Attime0,thepriceofstockAisS0;attime1,ifmarketgoesup,thestockpriceisSu,otherwise,thepriceisSd.TheriskfreerateisRf.Inthissimpleworld,Ishortsellingispermitted;Inotransactioncost;Iassetscanbeboughtorsoldinanyfractionalshares;H.La
5、nFinancialEngineeringMotivationGeneralInformationonOptionBinomialTreeDiscreteTimeAssetPricingSimpleOptionInASimpleWorldSupposeinaoneperiodsimpleworld,therearetwoassets:StockAandriskfreemoneyaccount.Attime0,thepriceofstockAisS0;attime1,ifmarketgoesup,thestockpriceisSu,ot
6、herwise,thepriceisSd.TheriskfreerateisRf.Inthissimpleworld,Ishortsellingispermitted;Inotransactioncost;Iassetscanbeboughtorsoldinanyfractionalshares;Iask-bidspreadiszero;H.LanFinancialEngineeringMotivationGeneralInformationonOptionBinomialTreeDiscreteTimeAssetPricingSim
7、pleOptionInASimpleWorldSupposeinaoneperiodsimpleworld,therearetwoassets:StockAandriskfreemoneyaccount.Attime0,thepriceofstockAisS0;attime1,ifmarketgoesup,thestockpriceisSu,otherwise,thepriceisSd.TheriskfreerateisRf.Inthissimpleworld,Ishortsellingispermitted;Inotransacti
8、oncost;Iassetscanbeboughtorsoldinanyfractionalshares;Iask-bidspreadiszero;Ihumanbeingsarerational.H.LanFinanci
