p******5
发帖数: 138 | 1 Assume a non-dividend paying stock follows a geometric brownian motion.
What is the value of a contract that at maturity T pays the inverse of the
stock price observed at the maturity?
I don't know how to solve it. Thanks for helping. | f****e
发帖数: 590 | 2 1/S_T is still log normal,so black's formula still applies
or you can pretend 1/S_t is another stock, find it's dynamic.
【在 p******5 的大作中提到】
: Assume a non-dividend paying stock follows a geometric brownian motion.
: What is the value of a contract that at maturity T pays the inverse of the
: stock price observed at the maturity?
: I don't know how to solve it. Thanks for helping.
| b***k
发帖数: 2673 | 3 V(t,St)=exp(-r*tau)*E(S_T),
where S_T=1/[St*exp((r-sigma^2/2)*t+sigma*Bt)]
and Bt is standard BM.
you know how to eveluate E(exp^Bt), do you?
【在 p******5 的大作中提到】
: Assume a non-dividend paying stock follows a geometric brownian motion.
: What is the value of a contract that at maturity T pays the inverse of the
: stock price observed at the maturity?
: I don't know how to solve it. Thanks for helping.
| p******5
发帖数: 138 | |
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