b***k
发帖数: 2673 | 1 ☆─────────────────────────────────────☆
potala (天涯宝贝) 于 (Thu Dec 11 22:11:23 2008) 提到:
dSt = u St dt + sigma St dWt
dBt = r Bt dt
如果u 跟sigma都是常数呢，下面的关系都成立，
哪如果u跟sigma 不是常数，而是u=u(St), sigma=sigma(St)的话，
下面这些关系还成立么，为什么？
1） C(S,t,K,T) = C(S,0,K,T-t)
2) C(aS,t,aK,T) = aC(S,t,K,T)
3) C(S,t,K,T) is an increasing function of S
4) C(S,t,K,T) is a decreasing function of 0
5) C(S,t,K,T) -> max(S-K,0) as t->T
6) 0<=dC/dS<=1
7) if S>K, then dC/dS->1 as t->T
8) if S0 as t->T
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