Ngày tải lên :
18/10/2013, 02:20
... 224
X
1
!
1
=
1
1+r
2
6
6
4
1+ r ,d
u, d
X
2
!
1
;H
| z
V !
1
;H
+
u , 1 + r
u , d
X
2
!
1
;T
| z
V !
1
;T
3
7
7
5
;
X
0
=
1
1+r
1+ r,d
u,d
X
1
H+
u, 1 + r
u , d
X
1
T ... computation.
Recall:
X
k +1
=
k
S
k +1
+ 1+ rX
k
,
k
S
k
:
Define
k
= 1+ r
k
:
Then
X
k +1
k +1
=
k
S
k +1
k +1
+
X
k
k
,
k
S
k
k
;
i.e.,
X
k +1
k +1
,
X
k
k
=
k
S
k +1
k +1
,
S
k
k
:
In ...
3
7
7
5
;
X
0
=
1
1+r
1+ r,d
u,d
X
1
H+
u, 1 + r
u , d
X
1
T
;
1
!
1
=
X
2
!
1
;H, X
2
!
1
;T
S
2
!
1
;H, S
2
!
1
;T
;
0
=
X
1
H, X
1
T
S
1
H, S
1
T
:
The probabilities of the stock price paths are irrelevant,...