定价竞争策略英文(ppt 41页)

·        Brownian Motion
The first formal mathematical model of financial asset prices, developed by Bachelier (1900), was the continuous-time random walk, or Brownian motion. This continuous-time process is closely related to the discrete-time versions of the random walk.
·        The discrete-time random walk
Pk = Pk-1  + k,     k  =   (-) with probability  (1-), P0 is fixed. Consider the following continuous time process Pn(t), t  [0, T], which is constructed from the discrete time process Pk, k=1,..n as follows: Let h=T/n and define the process
Pn(t) = P[t/h] = P[nt/T] , t  [0, T], where [x] denotes the greatest integer less than or equal to x. Pn(t) is a left continuous step function.
We need to adjust ,  such that Pn(t) will converge when n goes to infinity. Consider the mean and variance of Pn(T):
E(Pn(T)) = n(2-1) 
Var (Pn(T)) =  4n(-1) 2

 

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