问题如下:
What is the formula for the risk-neutral probability of an upward movement in the case of (a) a stock index, (b) a currency, and (c) a futures price?
解释:
(a) Replace by where q is the dividend yield on the index.
(b) Replace by where rr is the foreign riskfree rate.
(c) Replace by 1.
公式错了吧?应该去掉根号吧?另外,futures的为什么是1呢?