其次就係我地仲未將S_t同P(t,T;r_t)兩條processes由under Q-measure轉做under Q*-measure
因為我地舊expectation依家係taken under Q*-measure
所以我地冇得唔轉 但係都唔係太複雜 慢慢做就ok
下面我會喺圖入面解決曬呢兩個問題 唔再分開解釋
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最尾條pricing formula其實同普通Black-Scholes條call price幾乎一樣
只係我地用P(t,T)取代咗r (set r= 0)
而咩係P(t,T)? 就係 (mature at time T 嘅) zero coupon bond at time t 嘅 price
大家諗真啲 其實佢同discount factor嘅效果係差唔多
如果at time T到期收到$1 咁依家(time t)嘅price咪就係discount factor
只不過呢個bond price at time t (under filtration F_t) 一定係known value 唔會係random