c*********9 发帖数: 18 | 1 面试时被问到这个问题
一直不知道怎么回答才好
求解 |
P****d 发帖数: 369 | 2 我的答案:
BS公式及其背后代表的投资银行的‘金融数学家’, 他们的实质就是把一个简单的事
情复杂化,这样就可以做出没人看得懂的衍生产品,以此赚取高额利润。 |
v**m 发帖数: 706 | |
v******0 发帖数: 21 | 4 veli interesting answer! |
c**********6 发帖数: 18 | 5 Options are actively traded long before the invention of BS model.
Contrarianly 黑 FE seems not to hold in this particular case.
The question itself is a very basic one.
【在 P****d 的大作中提到】 : 我的答案: : BS公式及其背后代表的投资银行的‘金融数学家’, 他们的实质就是把一个简单的事 : 情复杂化,这样就可以做出没人看得懂的衍生产品,以此赚取高额利润。
|
k*******d 发帖数: 1340 | 6 In an interview, I would answer no arbitrage assumption, the idea of
replication, and risk neutral pricing.
BS formula and BS PDE are different things. My understanding is: no
arbitrage + replication + Ito formula + GBM process => BS PDE, then you see
the actual drift does not matter, what matters is the risk free rate, this
gives you risk neutral pricing formula, which then gives BS formula if the
underlying follows GBM and the option is EU call/put. |
L*******t 发帖数: 2385 | 7 I think it's a silly question prepared for those masters in FE.. |
y***s 发帖数: 23 | 8 price 二叉树模型,可以用三种方法(josh book, I guess)
1. arbitrage free
2. replication
3. risk neutral 就是求 p, 1-p 那种;
二叉树的极限 是brownian motion;
这种情况p, 1-p 就变成 risk neutral measure 了, which measures brownian
paths。
有了risk neutral measure, 就有了PDE.
PDE 可能也可从别的东西,推倒出来.
到头来,就是没有稳赚不赔这档事 |