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Option Pricing under Risk Neutral prob.

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Option Pricingunder Risk Neutral prob.

Presented by Chun-Yuan Chiu

邱俊淵

- 因地、因時
- Put-Call Parity：C– P + K = F

- Replicate a call: h shares of stock + B dollars

- Value of h shares of stock + B dollars at t0 :

- Due to the Central Limit Theorem, the risk neutral probability are normally distributed

GBM

NIG

CGMY

DE

JD

Thanks for your attention!