m****d
发帖数: 331 | 1 risk-neutral rate(r) vs. real-world rate Mu,什么时候用r, 什么时候用Mu, 二者
区别在哪里? | b******k
发帖数: 58 | 2 The difference is that if you used the Mu to price and trade the options,
you wud go broke quickly. | K******r
发帖数: 152 | 3 In BSM, only risk neutral drift r appears. Mu does not appear in BSM.
When you derive BSM using risk neutral pricing, you have already changed the
measure, so Mu becomes r.
When you derive BSM using perfectly hedging, you need to change the measure
at the beginning or later, and then Mu becomes r.
The only difference is, if you use Mu as the real world drift, then you need
to use proper discount rate to calculate the PV (but you never know what
the rate is.) But if you use r as the risk neutral | m****d
发帖数: 331 | 4 thanks.
the
measure
need
free
【在 K******r 的大作中提到】
: In BSM, only risk neutral drift r appears. Mu does not appear in BSM.
: When you derive BSM using risk neutral pricing, you have already changed the
: measure, so Mu becomes r.
: When you derive BSM using perfectly hedging, you need to change the measure
: at the beginning or later, and then Mu becomes r.
: The only difference is, if you use Mu as the real world drift, then you need
: to use proper discount rate to calculate the PV (but you never know what
: the rate is.) But if you use r as the risk neutral
| p****e
发帖数: 1028 | 5 in practice Mu still matters because no one can do strict continuous tim
e hedging.
【在 b******k 的大作中提到】
: The difference is that if you used the Mu to price and trade the options,
: you wud go broke quickly.
| D*****a
发帖数: 2847 | 6 区别在没人知道mu是多少，哈哈
【在 m****d 的大作中提到】
: risk-neutral rate(r) vs. real-world rate Mu,什么时候用r, 什么时候用Mu, 二者
: 区别在哪里?
|
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