b******w
发帖数: 52 | 1 Suppost interest rate r is const, r=0;
Stock pricing dS/S = b dt + \sigma dW, b, \sigma const, W is standard BM.
S(0) = S_0;
Then how to price the following option:
Fix S_1, S_1 > S_0, if at some future time t, S(t)= S_1, you get 1 dollar.
Any input? | c*******d
发帖数: 72 | 2 is t fixed or is it within a range? | b******w
发帖数: 52 | 3
dollar.
t \in [ 0, \infty), no constraint on t!
【在 b******w 的大作中提到】
: Suppost interest rate r is const, r=0;
: Stock pricing dS/S = b dt + \sigma dW, b, \sigma const, W is standard BM.
: S(0) = S_0;
: Then how to price the following option:
: Fix S_1, S_1 > S_0, if at some future time t, S(t)= S_1, you get 1 dollar.
: Any input?
| T*******t
发帖数: 9274 | 4 S_0/S_1
and actually, the price is model independent.
【在 b******w 的大作中提到】
:
: dollar.
: t \in [ 0, \infty), no constraint on t!
| g**e
发帖数: 6 | 5 Heard on the street.
【在 T*******t 的大作中提到】
: S_0/S_1
: and actually, the price is model independent.
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