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財務工程 呂瑞秋著

???? ????. 3. ?????????. ?????????????????? ??????(the Law of Large Numbers)????????? ????:???????,??????????????? . ???? ????. 4. ?????????????????? . 1.??????????????????????? 2.?????????????????????(payoff) 3.????1?2??????,??????? 4.?3??????????????????????????????? . ???? ????. 5. ??????

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財務工程 呂瑞秋著

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    1. ???? ???? 1 ??? ???????????? ????????????

    2. ???? ???? 2 ???????????? ?????????????????? ???? ??????:??????????? ?????:???????????

    3. ???? ???? 3 ????????? ?????????????????? ??????(the Law of Large Numbers)????????? ????:???????,???????????????

    4. ???? ???? 4 ?????????????????? 1.??????????????????????? 2.?????????????????????(payoff) 3.????1?2??????,??????? 4.?3???????????????????????????????

    5. ???? ???? 5 ???????????????? ????????????????????ei,????St??????r??????s????????T-t?????(4.1)???????????? ?????????????Max( -K,0) ????????m???????? ??????????????????

    6. ???? ???? 6 ???????????????? ????????????????????,????St??????r??????s??????t?????(4.2)????????? ??????????????????????,??????????????r??????s??????t?????(4.3)????????? ?????,?????St+3?t ?St+4?t ? St+5?t?St+6?t

    7. ???? ???? 7 ????????????????(Cont) ????????????? ????????m???? ??????????????????

    8. ???? ???? 8 ????? ??????????????(tree model)???????? ?????????,??????????????????? ??????????????????? ???????(Central Limit Theorem)? ???

    9. ???? ???? 9 ???????

    10. ???? ???? 10 ???????? JR tree: u= d= P=1/2 CRR tree: u= d=1/u P=(er?t-d)/(u-d)

    11. ???? ???? 11 ????????????? ???????????????????Max(Stun-jdj-K, 0)?(j=0,1,2,…,n) ???????????? ??????????????????

    12. ???? ???? 12 ????????????? ?????83???84?

    13. ???? ???? 13 ??????? ???(Brennan and Swhartz, 1977) ??????(Boyle, 1977) ???? ?????(Cox, Ross, and Rubinstein, 1979) ?????(Boyle, 1988) ????? (Duan et. al., 2003)

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