A*******u 发帖数: 66 | 1 记得有这么一个结论:The futures price is a martingale under the risk-neutral
measure. 但自己推出来却不对,请高人看看错在哪里:
Suppose dS=rSdt+\sigma*SdW, where W is a BM under RN measure.
Then dF=d(S*exp(rt))=2rFdt+\sigma*FdW
由于有drift项,表明F在RN measure下不是martingale,与之前结论矛盾。
不胜感激! | u****g 发帖数: 402 | 2 F(t,T) = S(t)*exp(T-t)
then differentiate F(t,T) with respect to t, you will find it is martingale. | A*******u 发帖数: 66 | 3 Got it.
Thanks a lot urqing!!
martingale.
【在 u****g 的大作中提到】 : F(t,T) = S(t)*exp(T-t) : then differentiate F(t,T) with respect to t, you will find it is martingale.
| l***u 发帖数: 91 | 4 this is forward, not future.
martingale.
【在 u****g 的大作中提到】 : F(t,T) = S(t)*exp(T-t) : then differentiate F(t,T) with respect to t, you will find it is martingale.
| A*******u 发帖数: 66 | 5 I forgot to say in this case r is a constant, so forward price=futures price.
【在 l***u 的大作中提到】 : this is forward, not future. : : martingale.
|
|