t*****e
发帖数: 53 | 1 we use the stock price to build a binomial tree model.
lets say sigma is the volatility such that sigma^2 * delta_t is the variance
of the stock return at time delta_t.
How to prove that the sigma is the stock price volatility of the binomial
tree.
Can anybody provide me some reference materials so that I can learn how to
prove it? |
s***e
发帖数: 267 | 2 I think when you do binomial tree, the u=1/d=exp(sigma*sqrt{delta_t}) can be
derived from the variance of
binomial. The computation is just by definition. You can find this almost
any book which has a chapter on
binomial tree, such as John Hull.
variance
【在 t*****e 的大作中提到】
: we use the stock price to build a binomial tree model.
: lets say sigma is the volatility such that sigma^2 * delta_t is the variance
: of the stock return at time delta_t.
: How to prove that the sigma is the stock price volatility of the binomial
: tree.
: Can anybody provide me some reference materials so that I can learn how to
: prove it?
|
t*****e
发帖数: 53 | 3 where can I download john hull's book? |
J****g
发帖数: 103 | 4 恩， 直接把各个参数带进去， 用Variance的定义就证出来了。 |
t*****e
发帖数: 53 | 5 not quite unerstand.
binomial trees have many steps? how about the final steps? |
