s********t
发帖数: 31 | 1 Just have this question in mind recently.
It seems interesting to me:
1. From B-S equation, stock price growth rate always > risk-free rate due to
the volatility of Stock. Since GDP growth rate is close to risk-free rate
(roughly speaking), investing in stock has return higher than the GDP growth
rate.
2. However, it 1 is true, over long time the stock price rises too fast over
economy rate, and the GDP growth rate can not support the stock price.
Eventually, the stock price will plumb (i.e., | c*********g
发帖数: 154 | 2 没搞清楚你说的B-S equation指什么？PDE？B-S formula？
不管是哪个，你怎么得出“stock price growth rate always > risk-free rate”这
个结论的？
我们首先要假设stock的physical dynamic是GBM。然后根据一些定理，这个GBM可以转
化成在risk-neutral probability下的另一个GBM。两者vol是一样的，只不过后者的
drift系数是interest rate。但仍然看不出你说的这个结论啊。 | s********t
发帖数: 31 | 3 Sorry for any confusion.
Here "B-S equation" is essentially Black-Scholes Model.
In general stock perform better than GDP rate, but has to be consistent to
GDP growth in long term.
Is it because GDP growth is much higher than interest rate? | r******o
发帖数: 1530 | 4 just wandering on this board, it looks like you are talking equilibrium
pricing, while Black-Scholes is risk neutral pricing, totally different
The basic concept of Black-Scholes has nth to do with the fundamentals, it
says as long as you can hedge your risk completely, you can only make risk
free return, in other words, you are not rewarded for not taking risk, makes perfect sense. |
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