金融工程講義(ppt 30頁)(英文版)

金融工程講義內容簡介:
Extension of the Theoretical Framework for Pricing Derivatives; Martingales and Measures Chapter 19
Derivatives Dependent on a Single Underlying Variable
Forming a Riskless Portfolio
Market Price of Risk (Page 500)
This shows that (m – r )/s is the same for all derivatives dependent on the same underlying variable, q
We refer to (m – r )/s as the market price of risk for q and denote it by l

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