金融工程课堂展示(ppt 30页)

 Extension of theTheoretical Framework for Pricing Derivatives;Martingales and Measures Chapter
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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