文档介绍：该【期权,期货及其衍生品第27弹课件 】是由【yzhluyin1】上传分享，文档一共【23】页，该文档可以免费在线阅读，需要了解更多关于【期权,期货及其衍生品第27弹课件 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。Chapter27 MartingalesandMeasures
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DerivativesDependentonaSingleUnderlyingVariable
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FormingaRisklessPortfolio
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ExtensionoftheAnalysis toSeveralUnderlyingVariables (,page634)
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Martingales(Page635)
Amartingaleisastochasticprocesswithzerodrift
Avariablefollowingamartingalehasthepropertythatitsexpectedfuturevalueequalsitsvaluetoday
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AlternativeWorlds
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ForwardRiskNeutrality
Wewillrefertoaworldwherethemarketpriceofriskisthevolatilityofgasaworldthatisforwardriskneutralwithrespecttog.
IfEgdenotesexpectationsinaworldthatisFRNwrtg
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AlternativeChoicesfortheNumeraireSecurityg
MoneyMarketAccount
Zero-couponbondprice
Annuityfactor
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MoneyMarketAccount astheNumeraire
Themoneymarketaccountisanaccountthatstartsat$1andisalwaysinvestedattheshort-termrisk-freeinterestrate
Theprocessforthevalueoftheaccountis
dg=rgdt
-neutralworldwherel=0
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Zero-CouponBondMaturingattimeTasNumeraire
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