Μπούτσικας, Μιχαήλ - Παράγωγα Χρηματοοικονομικά Προϊόντα

:
( )
0.2
0.4
0.6
0.8
-1
St = e X t
1
0.2
0.4
0.6
0.8
-1
2005-7

1,
1.1. (, , )
1.2. ( - forward contracts, - Future contracts, - Stock Repo, - options)
1.3. (Hedgers, Speculators - , Arbitrageurs)
1.4. (
, (Bull spread Bear spread Butterfly Spread),
(Straddle Strip and Strap Strangles)
2,
2.1. ( k , , , )
2.2. Forwards Futures
2.3.
2.4. -
2.5. , .
2.6. .
3,
3.1. -
3.2.
3.3. ( - random element)
3.4. Lebesgue
3.5. Radon-Nikodym
3.6.
3.7.
3.8.
3.9.
3.10. Martingales
4,
4.1.
4.2. n
4.3. no-arbitrage n .
5, Brown
5.1. Brown
5.2. Brown
5.3.
5.4. It
5.5. It.
5.6. It
5.7. It
5.8. Girsanov
5.9. martingale
6,
Black and Scholes
6.1. Black Scholes
6.2. Black-Scholes .
6.3. B-S
6.4. (Delta Hedging)
6.5. (exotic options)
6.6. BlackScholes ( , )

. 2005-6
(7 ).
( ) (.. . , , , , ..)
(Stochastic Finance,
Financial Mathematics, Financial Engineering).
-
( 1) ( - forwards,
- futures, - options). (.. ).
(option pricing).
;

(arbitrage), (self-financing portfolios),
(hedging), (risk-neutral world) ..

.
, . ( 2,
)
.
. ,
.
, ( 4).
, n ,
. , ,

martingales ( 3). n ,
. n ( n )
.

, Brown.
Brown . ,
Brown. , It,
. 5
(stochastic calculus).
6, 5
, Black and Scholes.

. Black and Scholes . (Delta Hedging)
(vanilla)
(exotic options).

( ) . .
:
SHELDON M. ROSS (1999) An introduction to mathematical finance. Cambridge University Press (
)
JOHN C. HULL (1989-2005) Options, futures and other derivatives. Prentice Hall (
)
STEVEN E. SHREVE (2003) Stochastic calculus for finance I (the binomial asset pricing model), Stochastic
calculus for finance II (continuous-time models). Spriger (
)
- (
)
N. BINGHAM AND R. KIESEL (2000) Risk neutral valuation. Pricing and hedging of financial derivatives. Springer - Verlag.
J. C. COX AND M. RUBINSTEIN (1985) Options markets. Prentice Hall.
A. ETHERIDGE (2002) A course in financial calculus. Cambridge University Press.
H.R.ELLIOT AND P.E. KOPP (1991) Mathematics of financial markets. Springer.
G. KALLIANPUR AND R.L. KARANDIKAR (2000) Introduction to option pricing theory. Birkhauser.
I. KARATZAS, S. E. SHREVE (1997) Brownian motion and stochastic calculus. Springer
I. KARATZAS, S. E. SHREVE (1998) Methods of mathematical finance. Springer.
F. C. KLEBANER (1998) Introduction to stochastic calculus with applications. Imperial College Press.
D. LAMBERTON AND B. LAPEYRE (1996) Introduction to stochastic calculus applied to finance (translated), Chapman and Hall.
NEFTCI (2000) An introduction to the mathematics of financial derivatives. Academic Press.
- , / :
.-. . (2001) , .
. (2004) .
, . & , . .
. (2000) . , .
, . & . .
. (2000) . Conceptum A.E.

, 2005
1

1.1.
1.1.1.
. , ( ) . () .
( ) ( ), , ( ) ..

.
: ( )
( , )
(
),
( ) (
). .
1.1.2.
, . (, bonds).
. .. 500000 1000 (..
) 500 . () 500 ( ).
.
( )
( ) (.. ).
, , zero-coupon. zero-coupon bonds
(.. zero
coupon bonds).
Boutsikas M.V. (2005-7),
& ,

( )
.
1.1.3.

, . , ,

. , ( ), ( ).
,
(.. ), .
,
, ,
.

, .. , . ,
. .
( ) long position (.. ),

. , short position

.
1.2.
,
.
, (..
FTSE 20, FTSE 40), , . :
1.2.1. (forward contracts)
() .

.
& ,
,
( long position) (
short position), ,
, (delivery price).
, ,
(. 3 ) 1000 ( .. 1000
1000000 ) K = 15 . K
, S0, (
), r
T. , 1000
, , 100015 = 15000
( ).
..
() ST = 18 , ( ) 3
( 100015
) 100018 .
15 ( ).
, ( )
ST K,
ST
. ,
ST .
, () ST ( ).
( ).
(.. ),
. , , (
)
.
1.2.2. (Future contracts)
,
() , (long position) (short position),
, , (delivery price). long position
short position . (commodity, .. , , , , , , , , ..)
3
& ,
(, , ..).
,
(
).

. ,
,
.

, , . (margin accounts). (
).
(.. ) .
(.. ).
, (short position)
100 , = 30 ( ) (long position)
. ( .. 12% 100). ,
. .. 32 .
(long position) (.
short position )
(3230)100 . , ,
2100 . . (marking to market).
( ),
( ) (
).
,
. (margin) .
1.2.3. (Stock Repo Stock Reverse Repo)
:
& ,
1. (stock lending Repo). . ( ).

repos,
.
2. (stock borrowing - Reverse Repo). ( repo) ( ).
Stock Repo
( ). .. repo Reverse Repo .
1.2.4. (options)
( ) ( ) . ( )
( , ) A K, [0, ] .
.. , , ,
.
(holder) ( ) . (writer)
, .

C ( - Option price, option premium) (
) .
, :
1. ( call option put option).
call option (long call) call option
(short call) put option (long put) put option (short put).
2. (.. FTSE/ASE-20 , OTE ..)
3. (.. OTE, 100 OTE)
4. (exercise date, maturity). A T
: () (American option)
. () (European option) .
5. (strike price exercise price) / / (
) (.. ) .
& ,
6. C ( - Option price, option premium) .

.
10 97
.
( ). .. ( 50 )
, , , strike price = 80, 90, 100, 110, 120 ,
45 = 20 (20 option series, option class). C (option series).

, , , .
( - Long call).
. ,

. , ( holder, long
position) 10 (call option)
(strike price) K = 100 C.
, , (. 50
50) ( )
100 .
120 100. 120 100
( C) 100 120 . ,
80 ( ).
( C ).
, ST
T (call option) (long position) ( )
long call
(S )+ C
( ST K ) + = max{ST K ,0}
0
C

& ,
S K , ST > K
= T
0, ST K
C (ST K)+ C. (o
holder), ,
(
).
C.
( - Short Call).

.
( 100 ) ( ) C. 100 ,
(.. 120 ) 100 120100 (
120 100 ).
, ST
T (call option) (short position) ( )
short call
C (S )+
C
0
( ST K ) + = max{ST K ,0}
K ST , ST > K
=
0, ST K
C C (ST K)+. (o , writer), ,

. ,
.
( - Long Put)
. (strike price)
K = 100 C. ,
, (50 .) 100 .
80
( ) 100. 100 80 (
& ,
)
100 80 (
100 80). , 120

( ). ( C ).
, ST T
(put option) (long position)
( )
long put
(K ST )+ C
( K ST ) + = max{K ST ,0}
K ST , K > ST
=
0, K ST
(K ST)+ C. (o
holder)
(
C).
( - Short put). .

( 100 ) C. 100 , (.. 80 )

100 100 80 (
80 ). , ST T
(put option) (short
position) ( )
short put
C (K ST )+
( K ST ) + = max{K ST ,0}
C
0
S
K

& ,
S K , K > ST
= T
0, K ST
C C (K ST)+. (o
, writer), , . , .

.
In-the-money, t-the-money, ut-of-the-money: St t
in-the-money, at-the-money out-of-the-money t
, holder () ,
() ( C).
, (call option) t, in-the-money
St > K, at-the-money St = K out-of-the-money St < K. , (put option) in-the-money St < K, at-the-money St = K out-of-the-money St
> K. , (holder) in-themoney.
Intrinsic value ( ). (St K)+ = max{St K, 0} (intrinsic value) t call option ( K
St t). , (K St)+ = max{K St, 0}
t put option ( K St t).
Short selling ( ):
. :
( )
100 (short
selling). , 100
( )
short selling.

100 .
,
. short selling (margin account). : (short selling) ( ). .
1.3.

& ,
1.3.1. Hedgers

(Hedging: ). , . . :
1000000 . 1
= 0.869 . 869000 (
).
(. 0.869 ).
.
1000000 869000 . ()
(
). , ( )
0.869 ( .. 0.870) .
, 0.869,
( ). ,
.
1.3.2. Speculators ()
Hedgers (..
),
(.. ). ,
. . ..
..
1000000 0.87 . 0.87 .

, .
1.3.3. Arbitrageurs
(
),
, ( arbitrage ). arbitrageur ,
,
. : , 168 100 , - 1 = 1.7 . ( ). arbitrageur Boutsikas M.V. (2005-7),
& ,
10
1000 .

(168 + 100*1.7 )1000 = 2000
. ( ). , ,
,
.
.
arbitrage , .
( arbitrage).
, : (hedging) (..
) (.. ).
, , , , ,
, , .. ( ).
1.4.

, long call (ST K)+ C

. .
.
1.4.1. .

.
() (short call, ..
) (covered call). ( short call ). (short call) ST ,
(, S0) ST
()
( ).
& ,
11
Short Call
S0
S0
(iii) (i)
(ii) (covered call)
(ii) : ST S0
(i)
: C (S K)+

(covered call) (short put).
() ():
(long call, .. ) (short
selling). ST
:
long Call
ST
ST
S0
ST
(iii) (i)
(ii) (reverse covered call)
(ii) (short
sell) : S0 ST
(i)
: (S K)+ C
S0

(long put).
() (long put, ..
) (protective put).
ST :
long put
S
K
(i)
: (K S)+ C.
S0
(ii) : ST S0

& ,
S0
S
K
(iii) (i)
(ii) (protective put)
12

(long call).
() (): (short put, .. )
(short selling). ST
:
Short put
ST
(i)
: C (K S)+.
ST
S0
(ii) (short
sell) : ST S0
ST
S0
(iii) (i)
(ii)

(short call).
1.4.2. .
() Bull spread . (long call) 1
(short call) 2 > K1 ( ). .

( ).
C2
0
-C1
long call
K1
ST
K2
short call
Bull spread
(ST C1, C2 ).
C2 C1 , ST < K1
(ST K1)+ C1 + C2 (ST K2)+ = ( ST K1 ) + C2 C1 , K1 ST K 2

K K + C C , K < S
1
2
1
2
T
2
& ,
13
0, ST < K1
(ST K1)+ (ST K2)+ = ST K1 , K1 ST K 2

K K , K < S
1
2
T
2
C1 C2 .
C1 > C2
( K
C - C
).
C1 C2
2 1
C1 C2. bull spreads: (i) calls
in-the-money, (i) calls out-the-money, (iii)
call in-the-money out-of-the-money.
bull spread ( ). put 1 put
2 > 1
call options ( ).
(long call),
( Bull
). (K2
K1) C = C1 C2 ( long call
C1).
() Bear spread .
(long call) 1 (short call) 2 ( ). 2 < K1
2 > K1 bull spread. .

( ).
long call
C2
K1
0
K2
ST
-C1
short call
Bear spread
& ,
14
() Bull
spread (ST C1, C2
):
C 2 C1 , ST < K 2
(ST K1)+ C1 + C2 (ST K2)+ = ( ST K 2 ) + C 2 C1 , K 2 ST K1

K K + C C , K < S
1
2
1
1
T
2

0, ST < K 2
(ST K1)+ (ST K2)+ = ( ST K 2 ), K 2 ST K1

K K , K < S
1
1
T
2
C2 C1 ( C2 > C1 1 > 2)
C2
C1 2 1 C2
C1. bull spreads, bear spread ( ).

( bear
). call option
(K2 K1) C = C2 C1 ( short call C2).
() Butterfly Spread.
( ). (long call) 1 3 (1 < 3)
(short call) 2 ( ). 2 1 3 ( (1+2)/2)
. .
long call (1)
C2
0
-C3
-C1
K3
K1
K2
long call (3)
ST
2 short call (2)

Butterfly spread
,
ST 2. , (
& ,
15
).
.
1.4.3.
.
() Straddle. (long call) (long put) (
) . .
long call
ST
K
long put
Straddle
, ST .
ST , ( ).
ST ( ).
( ).
bottom straddle straddle. top straddle straddle
.
bottom straddle. ST ( )
ST . top straddle
butterfly spread top straddle ( ST ) .
() Strip and Strap. strip strap

Straddle. strip (long call) (long put) ( )
. strap (long
call) (long put) (
) .
.

& ,
16
2 long call
long call
K
ST
ST
long put
2 long put
Strip
Strap
ST
( ). Srtip ( )
Strap .
() Strangles. strangle straddle.

(long call) (long put) (
)
1, 2 (K1 < K2). .
long call
K1
ST
K2
long put
Strangle
ST
( ).
1
1. 10000 . () (forward
contract) (long put) ; ()
(i) 9000, (ii) 11000 , , (
) ;
2. .
(i) (ii) ; (i), (ii) ;
3. 1000
. () (long
& ,
17
forward) (long call) ; ()

(i) 900, (ii) 1100 , , ( )
;
4. 10000 ( 32
) ()
30 . (i) (ii) . () 2 . ;
5. .
A = 6000 () ()
. ( ,
m = 50 ) = 20 C = 2 , S0 = 19. ()
()
. ST = 25 ST =
15; ;
6. n = 5000
S0 = 26 .
(a) ;
() ( , ) = 25 C = 1.6 .
hedging (. h ). : n < h, n = h, n > h. h = n;
() h
ST = 15, a = 20000 55000
hedging.
7. long forward long call
short put ( ).
8.
30, 35 40 .
8, 4 1 .
35 . ( ). (i) 25, (ii) 35,
(iii) 45 , .
9. ( ).
long call long put ; ;
10. call option 100 4 put option
90 6 .
& ,
18
strangle . .
11. bull spread bear spread

. bull spread bear spread
;
12. box spread bull spread ( calls 1, 2) bear spread ( puts 1, 2)
. ( ) ;

& ,
19
2

2.1. -
P , (.. , ..).
, P ,
, . ..
P () r , , ,
P + Pr = P(1 + r).
, .. , (LIBOR: London Interbank Offered Rate EURIBOR: European
Interbank Offered Rate ..), , .. , ( ), . , ( .. ).
2.1.1. k
() P r, k
, k ,
r/k. , P
r/k,
r
P 1 + .
k
() r/k

2
r r
r
P1 + 1 + = P1 + ,
k k
k
... k- ( ) P
k
P 1 + .
k
, m , P(1 + r / k ) mk .
& ,
20
, P = 100000 (.. ..
) 6% (. k = 4).

k
0.06
P1 + = 1000001 +
= 106136 .
4
k
6.136% 6%
. .
2.1.2.
() P r,
, k .
r
lim P (1 + ) k = Pe r ,
k
k
, t (t(0,)) P Pe rt .
, P = 100000 6% 100000e0.06 = 106184 (
6.184%). (t = 1/12) 100000e0.06/12 = 100501.
r .
.
2.1.3.
: P r (, , ). P(t) t (P(0) = P).

(t, t+t] P(t) P(t)rt ( rt), ,
P(t + t ) P(t ) + P(t )rt
t 0 ( t)1
P (t + dt ) = P (t ) + P(t )rdt dP (t ) = P (t )rdt

P(t ) =
dP (t )
= P (t )r
dt
( t).
P(t) (
P(t) P(t)). P(t) :
, P(t + t ) = P(t ) + P(t )rt + o(t ) (t) (t)/t 0.

& ,
21
P(t ) = P(t )r
P(t )
= r (ln P (t )) = r ( t),
P(t )
t [0, x]
(ln P(t ))dt = rdt ln P( x) ln P(0) = rx P( x) = P(0)e rx .

r.
r . .
, r(t) r, (t, t+dt] P(t) P(t )r (t )dt , ,
P(t + dt ) = P(t ) + P(t )r (t )dt dP(t ) = P(t )r (t )dt ( t),

:
(ln P(t ))dt = r (t )dt ln P ( x) ln P (0) = r (t )dt P( x) = P (0)e
0 r (t ) dt
2.1.4. .
r ( ) ( ). r (risk-free interest rate)

.
,
r (
).
() P,
t ( ) Pe rt (
P r, t Pe rt).
t A, Ae rt ( Ae rt r, t
Ae rt e rt = A ).
. 0, t,
2t, , (n1)t ( r). H
n 1
A + Ae rt + Ae r 2t + ... + + Ae r ( n 1) t = A (e rt )i = A
i =0
1 (e rt ) n
1 e rt
..

& ,
22
1 (e rt ) n r
e .
1 e rt
.. P n 0, t, 2t, , (n1)t
P=A
1 (e rt ) n
1 e rt
A=P
1 e rt
.
1 e rnt
.. P = 100000, r = 4%, n = 1230, t = 1/12, = 476.21.

, ,
(..
t). (
).
2.2. Forwards Futures

(Forwards)
(, Futures)
(delivery price).
( ). , , C .

. .
.
, .
. , , .

(transaction costs), ( ).
(, )
r (risk free interest rate) .
, , .
, arbitrage
(. , ), ( ).
23
& ,

(. arbitrage). , .. C ,
arbitrage, arbitrage.
(delivery price) (Forwards)
(, Futures).
(.. long
position) (.. 100 ) T(0,)
. T ( short position) K. K; ;
St (.. 100 ) t.
, , S0 T
ST. S0 ST
.
K
, K = E(ST). , , .
K;
. K arbitrage.
K arbitrage, ,
,
arbitrage ( .. K , long position E
K). (.. ).
2.2.1. (delivery price)

T , arbitrage
K = S 0 e rT ,
S0 r .
K > S 0 e rT .
short position ( ) S0 ( r)
(. 100 ). ,
(
0) K S0erT. Boutsikas M.V. (2005-7),
24
& ,
S0erT > 0,
arbitrage .
,
K < S 0 e rT ,
long position ( )
(short sell)
S0 ( r). ,
(
) S0e rT. S0erT > 0, arbitrage .
, = S0erT
arbitrage. .
2.2.1. 100
( ).
20 (. S0 = 2000) 6%. , arbitrage
(delivery price)
K = S 0 e rT = (20 100)e
0.06
1
4
2030.23 .
delivery price (
arbitrage)
. f (t) t[0,T], T ( long short f (t)). :
2.2.2. ( T ) t < ,
arbitrage
f (t ) = S t Ke r (T t ) ,
St t r .
. .
:
- long forward ( ) erT 0.
- .
T , . , T
erTe rT = K
& ,
25
long forward . ,
. no-arbitrage
. .. t < T
(short sell)
. (arbitrage).
t f (t ) + Ke rT e rt = f (t ) + Ke r (T t ) St. , arbitrage

f (t ) + Ke r (T t ) = S t , t < T
.
2.2.1. f (0) = S 0 Ke r (T 0 ) .

(t = 0),
f (0) = 0 S 0 Ke r (T 0 ) = 0 K = S 0e rT
2.2.1.
2.2.2. ( 2.2.1) 100 ( )
= 2030 ( noarbitrage 2030.23 arbitrage no-arbitrage
, .. ).
AAA 22 ( 20 ).
(no-arbitrage value);
2.2.2, arbitrage ,
(t = 1/12) (long forward)
f (t ) = S t Ke
r (T t )
= 22 100 2030 e
1 1
0.06 ( )
4 12
190.2 .
2.3.
.
.
2.3.1.
.. , , , ...
1, 2, , . , Si(t) i t ( ). (.. ).
2.3.2. (portfolio)
x = (x1, x2, ,x). xi
26
& ,
i
( xi < 0
short xi i). , , x1, x2, , x
.
2.3.3. A (x1, x2, ,x) t
Vt = x S(t ) = ( x1 , x 2 ,..., x ) ( S1 (t ), S 2 (t ),...., S (t )) = xi S i (t ) ,

i =1
( ). S(t) = (S1(t), S2(t), , S(t))

t.
2.3.1. ,
2.2.2. 3 :
(1) 1 ( 0), r ( t ert),
(2) 2 ,
(3) 3 long forward 1 K
T.
2.2.2
,
: (Ke-rT, 0, 1)
B: (0, 1, 0)
t < T (ert, St, f (t)) t = T

(erT, S, ST K). t :
- t:
( Ke rT ,0,1) (e rt , St , f (t )) = Ke rT e rt + 0 St + 1 f (t ) = Ke r (T t ) + f (t ), t < T
Vt =
( Ke rT ,0,1) (e rT , ST , ST K ) = Ke rT e rT + 0 ST + 1 ( ST K ) = ST , t = T
A
- B t:
(0,1,0) (e rt , St , f (t )), t < T
Vt =
(0,1,0) (e rT , ST , ST K ), t = T
B
= St , t T .
T ST
t < T (, 2.2.2,
arbitrage),
Ke r (T t ) + f (t ) = S t f (t ) = S t Ke r (T t ) .

& ,
27
2.3.2. 2.2.2 2.3.1 :

- : (0, 0, 1), long forward AAA,
- B: (Ke-rT, 1, 0), (short) KerT
0 ( KerT 0, .. ) AAA.
T ST K
no-arbitrage ,
f (t ) = S t Ke r (T t ) , t < T.

.
. long forward .
replicating portfolio hedging portfolio ( ) (. long forward )
B ( : (Ke-rT, 1,
0) ( ) . .
2.3.3. (
) ,
.
K = ( S 0 I )e rT f (t ) = S t I Ke r (T t ) ,
t = 0 ( ).
2.4. -

C (option price option premium) ( , ) . C
arbitrage.
(
) .

.
(..
) .
no-arbitrage . .. long call
& ,
28
, (.. T) (. replicating hedging portfolio).

(
.. ). :
0 S0 S1, S1 S0a
S0b (0 < a < b).
( 0) S1
(S0b, S0a) , p 1 p.
p
S1 = S0b
S0
1p
S1 = S0a
T
0 < a < e r T < b , a < b < e rT

(arbitrage) short . ,
arbitrage e rT < a < b ( ).
.

.
C (call option),
(holder) (writer) T ( ) writer K ( T
0). .
2.4.1. no-arbitrage ( )

C=
(e r T b 1)( S 0 a K ) + + (1 e r T a )( S 0 b K ) +
.
ba
. :
(1) 1 ( 0), r ( t ert),
(2) 2 (.. ),
(3) 3 long call 1 exercise price K, option price
C exercise date T.
:
& ,
29
- : (0, 0, 1) ( long call)

- B: (0, 0, 0) ( 0
0 ).
U0 U1 0 . long call , U1 = (S1 K)+. U0
long call 0, long call (option price option premium). 0, 0
.
T:
( S1 K ) + = 0 e rT + 0 S1 .
S1 , S0a . p
S0b . 1 p. T
S1, ,
(S b K ) + (S 0 a K ) +
( S 0 a K ) + = 0 e r T + 0 S 0 a
0 = 0
S 0 (b a)
( S b K ) = e r T + S b
= e r T b( S 0 a K ) + a( S 0 b K ) +
0
+
0
0 0
0
ba
, ,
( hedging portfolio
long call). no-arbitrage 0 ,
U 0 = 0 e r 0 + 0 S 0 = 0 + 0 S 0
, C = U0,
C = e rT
=
b( S 0 a K ) + a ( S 0 b K ) + ( S 0 b K ) + ( S 0 a K ) +
+
S0
ba
S0 (b a)
(e rT b 1)( S 0 a K ) + + (1 e rT a)( S 0 b K ) +
.
ba
C a < e r T < b .
2.4.1.
long call (
- hedging portfolio)
(i)
0 =
( S 0b K ) + ( S 0 a K ) +
0 ,
S 0b S 0 a
(ii)
0 = e r T
b( S 0 a K ) + a ( S 0 b K ) +
0 ,
ba

& ,
30
0 ,
. ( 0
0 ) short call (
).
C = U 0 = 0 + 0 S0 .
, . , ( 2.1.4.) . , () .
2.5. , .
no-arbitrage call option
:
e r T a
b e r T
(S0b K ) + +
( S 0 a K ) + = e r T (q ( S 0 b K ) + + (1 q )( S 0 a K ) + )
U 0 = e r T
ba
ba
q (erTa)/(ba). 0
1 ( a < erT < b) .
: S1
S0b S0a q 1 q ( p 1 p
) noarbitrage C
C = U 0 = e rT EQ ( S1 K ) + .
(S1 K)+
, () e rT . p 1 p q 1 q. Q .
. S1
(, F, P) R F
P F.
= {1, 2} P({1}) = p, P({2}) = 1 p
S1(1) = S0b, S1(2) = S0a.
S1 S0b S0a
p 1 p.
E P ( S1 ) = p S 0 b + (1 p) S 0 a .
P ,
P. ,

& ,
31
E P ( S1 K ) + = p ( S 0b K ) + + (1 p) ( S 0 a K ) + .
P Q,
Q({1}) = q, Q({2}) = 1 q S1 (, F, Q)
S0b S0a q = (e r T a) /(b a) 1 q .
,
EQ ( S1 ) = q S 0 b + (1 q ) S 0 a
EQ ( S1 K ) + = q ( S0b K ) + + (1 q) ( S0 a K ) + .
, U 0 = e rT EQ ( S1 K ) + P ( )
Q. . ,
E Q ( S1 ) = q S 0 b + (1 q ) S 0 a =
b e r T
e r T a
S 0 a = e r T S 0 ,
S0b +
ba
ba
, (, F, Q),
. ,

, , (. P(S1) > erTS0).
, (
). P
Q
(risk neutral probability measure).
Q . .
( ) .
2.5.1. (risk neutral pricing formula) no-arbitrage ( )

C = U 0 = e rT EQ ( S1 K ) + , Q EQ ( S1 ) = e rT S 0 ,
.

.
n n .
.
& ,
32
2.6. (call put, - )

.
,
. , , , ,
.
ccall(t) cput(t) call option put option ( ) ( , , )
t[0,T].
,
.
,
C, C = ccall(0) ccall() = (ST K)+, cput() = (K ST)+.
2.6.1. call option put option ( ) (put-call parity),

ccall (t ) + Ke r (T t ) = c put (t ) + S t
. :
(1) 1 ( 0), r,
(2) 2 (.. ),
(3) 3 long call (. ) 1 exercise price
K, option price Ccall= ccall(0) exercise date T.
(4) 4 long put (. ) 1 exercise price
K, option price Cput = cput(0) exercise date T.
0:
- : (e-rT, 0, 1, 0)
- B: (0, 1, 0, 1)

VTA = ( Ke rT ,0,1,0) (e rT , ST , ( ST K ) + , ( K ST ) + ) = K + ( ST K ) + = max{ST , K }
VTB = (0,1,0,1) (e rT , ST , ( ST K ) + , ( K ST ) + ) = ST + ( K ST ) + = max{ST , K }
no-arbitrage t[0, T]. ,

Vt A = ( Ke rT ,0,1,0) (e rt , S t , ccall (t ), c put (t )) = Ke r (T t ) + ccall (t )
Vt B = (0,1,0,1) (e rt , S t , ccall (t ), c put (t )) = S t + c put (t )
.
t = 0 C put = Ccall + Ke rT S 0 .
& ,
33
A
(t )
. ccall
A
c put
(t ) call option put option ( )
( , , ) t[0,T].
.
2.6.2. .
. long call,
, T. < , S K. ,
( S) T
min{K, S} ( , ) ( ) S min{K, ST}er(T) > S K.
.
2.6.3. H noA
(t ) = ccall (t ) , t[0,T].
arbitrage , ccall
. , ,
. .
,
.
2.6.3 .
[0,T] .
A
. c put
(t ) > c put (t ) , t[0,T].
2
1. A = 100000 B = 110000 .
() , () , () ;
2. long forward ( , )
( St t) .
( t = 0) , no-arbitrage long forward t[0,]

f (t ) = S t I Ke r (T t ) .
3. long forward ( , )
, .. 1 , St ( ) t.
& ,
34

r, no-arbitrage long forward t[0,]
f (t ) = St e r (T t ) Ke r (T t )
r -.
arbitrage ( long forward ).
4. long forward 1000 . 50 ( ) 5% (, ).

() K;
() , 60 .
;
5. forward 10.000 ( 100 ) K =
1.020.000 . ( )
r = 10%,
( long forward short forward position). = 1.040.000 ,
;
6. 50
45 55 . r = 4% (,
), (no-arbitrage) C long call
( ) T =
K = 48 ;
7. , T, , g(ST),
, ST, . no-arbitrage
0;
8. ( long put ,
long calls ;) long put, ,
T. < , K S. ,
( S)
T max{K, S} ( , ) ; K S (
);
9. : (1): r, (2): St t, (3): long call
( , C, T). t = 0 :
A: (e-rT, 0, 1) : (0, 1, 0).

& ,
35
() < . , VA, A;
() < VA < V (
VtA, Vt , t).
VA V.
() () American call option
European call option.
10. 3 ( long forward long call short put )

call put options (put-call parity)
.
11. ( r = 10%)
( = , = 65 )
63 . 3 ,
() no-arbitrage ;
() 4 , .
12. 100
10%. r =
5% (, ), (no-arbitrage)
long call long put
T = K = 95 ;

& ,
36
3
-

.
3.1. -: . F :
(i) F.
(ii) F c F.
(iii) 1,2, F ( ) U i =1 Ai F .
(, F) . F -
F 1,2, F I i =1 Ai F .
F .
, - . , . , , -.
- F = {, } F = 2
( ).
D
- . (D).
R T , (T)
B(R) Borel R (
- ,
Rk). B(R) 2R
R Borel, ( .. ) ,
. Borel
Rk (. B(Rk)) ( ).
3.2. : F - .
F [0,]
(i) () = 0,
i =1
i =1
(ii) (U Ai ) = ( Ai ) A1,A2, F.
(, F, ) .
Borel
R R (. ([,]) = ((,]) = ([,)) =
& ,
37
((, )) = ). Lebesgue. Borel

Lebesgue
R.
B(R) (,
B(R) ).
(, 2) 2 , 0() = ,
.
, () = 1, P. (, F, P) .
- - () = 0.
P- 1.
3.3. ( - random element).
(1, F1) (2, F2) ( )
1() F1 F2. F2 F1. 1() [ B] {1: () }.
, (, F) (R, B(R))
(..) ... ( ).
: R [ x] F x.
(, F) P, ..
R R. B(R)
PX (B) = P(X B) P([X B]) = P({ : X() }).
PX (R, B(R))
.
,
FX ( x) = P ( X x) = P ([ X (, x] ]), x R .
3.4. Lebesgue : IA : R ( F)
.. () = 1 0 .
(, F, ) (R, B(R)) {x1, x2, ,
xn} R. i = [ = xi] = { : () = xi}, i = 1,2,,n
:
n
= xi I A .
i =1
Lebesgue ( )
i =1
i =1
d = ( ) d ( ) xi ( Ai ) = xi ([ = xi ])

& ,
38
.. R (. : R R) Lebesgue
.
.. (,)(0,x) :
() x, : ((,)) x.
- R, ( )
R (. 0 1() 2() ) n () () ( n
).
n ( ) =
n 2 n 1
k
I k k +1 ( ( )) .
n
[ n, n )
k = n 2n 2
2 2
Lebesgue ( ) -
d = lim n d .
( )
n . .
, R
Lebesgue +() = max{(), 0} -() =
max{(), 0} , Lebesgue R (
Lebesgue )
d = + d d .
(.
( ) d ( ) )
d = d .
Lebesgue Riemann f: (R, B(R), ) (R, B(R)) ( Lebesgue) Lebesgue f ( ) Riemann f, ,
fd =
f (t ) dt ,
( | f | Riemann ). ,
, Lebesgue f : = ((a,)) . , ((,)) =
, Lebesgue
f ( Riemann).
Lebesgue f: (, 2,
0) (R, B(R)) ( 0 ) Lebesgue f ( )
& ,
39
fd0 = f (i ) ,
iZ
( | f (i ) |< ).
. ( P), Lebesgue P ( ) X (), ,
E P ( X ) = E ( X ) = X dP .
, (+), (-) <

(||) < .
: :
(i) E(aX + bY) = aE(X) + bE(Y) (a, b )
(ii) ( ) E(X) E(Y).
(iii) ( ) 0 1 2 .. ( ) ..
E ( X ) = lim E ( X n )
n
(, E (lim X n ) = lim E ( X n ) )
n
(iv) ( ) 1, 2, .. .. |n| < Y ( ) .. : E|Y | <
E ( X ) = lim E ( X n )
n
(, E (lim X n ) = lim E ( X n ) )
n
3.5. Radon-Nikodym : (-) , ( (, F))
v ( ) = d , F
A
( (, F ) ( R, B( R)) )
,
(Radon-Nikodym)
d
.
d
Radon-Nikodym , ( )
, , (v << , .
() = 0 () = 0 F) , - ( 1, A2, F (i) < , i = ).
. ..
(, F, P) (R, B(R)) P () P
(R, B(R)). f
& ,
40
P( X A) = PX ( ) = f d , B(R),
( (, F ) ( R, B( R )) ( R, B( R )) )
Px ,
Lebesgue, , xR,
FX ( x) = P( X x) = PX ((, x]) =
=
f (t ) I ( , x ] (t ) dt =
( , x ]
f d =
f I ( , x ] d
f (t ) dt
f =
dPX dF
,
=
d
dx
.. ( PX).
Radon-Nikodym ... f PX << , Lebesgue ( ..).
. .. (,
F, P) (, 2) P () P (, 2).
f
P( X A) = PX ( ) = f d0 , 2,
A
( (, F ) ( Z , 2 Z ) ( R, B( R )) )
Px , 0
0 , xZ,
FX ( x) = P( X x) = PX ({x, x 1,...}) =
= f (i ) I { x , x 1,...} =
iZ
{ x , x 1,...}
f d0 =
f I { x , x 1,...} d0
f (i)
i =

f =
dPX
= F ,
d0
(F(x) = F(x) F(x1))
.. ( PX).
Radon-Nikodym ... f PX << 0, ( ..). .
. , (, F)
v ( ) = d , F , =
A
d
d
( (, F ) ( R, B( R )) )
,
d =
d
d = d .

& ,
41
(1, F1, )
(2, F2) (2, F2) (R, B(R))
o d =
( (1 , F1 ) ( 2 , F2 ) ( R, B( R )) )
( )
2 (() = ([]), F2). = P (2, F2)
= (R, B(R)) (. X )
E ( ( X )) = o X dP = dPX ,
1
PX << ( ..) ... f =
E ( ( X )) = dPX =
R
dPx
d
E ( ( X )) = dPX =
E ( X ) = xf ( x)dx
PX
dPX
d = fd = ( x) f ( x)dx
R
d
PX << 0 ( ..) .. f =
( (1 , F1 ) ( R, B( R )) ( R, B( R )) )
dPx
d0
dPX
d0 = fd 0 = (i ) f (i ) .
R
d0
i
if (i) X ..
i
3.6. . . A, B
F ( P) P( A I B) = P( A) P( B) . () P
P( A | B) =
P( A I B)
P( B)
-. - H1,H2,, Hn
- F (,F,P) ( P)
P( A1 I A2 I L I An ) = P ( A1 ) P( A2 ) L P ( An ) 1H1, 2H2, , nHn.
-
.
. () -
( X ) = X 1 (B( R )) = { X 1 ( B ) : B B( R )} = {[ X B ] : B B( R )}
- . i, iI
.. ( (, F, P) (R, B(R)), (i, iI),
, -
& ,
42
iI
( X i , i I ) = U ( X i )
- i, iI .
i, iI (, F, P) - (i), iI . ,
, (), () , ,
P ( A1 I A2 ) = P( A1 ) P ( A2 ) 1(), 2()
, P ([ X B1 ] I [Y B2 ]) = P ([ X B1 ]) P ([Y B2 ]) 1,2B(R). 1, 2 (, x], P(X x,Y y) = P(X
x)P(Y y) x, y.
(1, F1, ), (2, F2, ) 12 - F1F2 12, 1F1, 2F2.
(12, F1F2) ,
( A1 A2 ) = ( A1 ) ( A2 ) , 1F1, 2F2
, . (12, F1F2, ) (i, Fi, i).
() :
P( X ,Y ) ( B1 B2 ) = PX ( B1 ) PY ( B2 ) 1, 2B(R),
P(X,Y) P (R2,B(R2)) (,):
R2. .. , () P(X,Y)
P P.
, Y () .. ( )
(*)
E (1 ( X )2 (Y )) = 2 12 dPX ,Y = 2 12 d ( PX PY ) =
R
dP dP
R
1 2
= E (1 ( X )) E (2 (Y ))
(*) Fubini ( 1,2 R R).

..
3.7.
( ) ( | )
( ..
,): y
g ( y ) = E ( X | Y = y ) = xf X |Y ( x | y ) dx =
1
x f X ,Y ( x, y ) dx
fY ( y )

& ,
43
g (Y ) = E ( X | Y ) Y
( , fX,Y ... ,). ..
, ..
Yi, iI,
,
. -
(
).
3.7.1. : (, F, P) (R, B(R)) (||) < .

W R -
D F W = ( | D) (i), (ii),
(i) W = ( | D) (, D, P) (R, B(R)), D
- ( [WB] D). Lebesgue .
(ii) .. W = ( | D)
E ( X | D) dP = X dP, G D.
G
:
E ( E ( X | D) I G ) = E ( X I G ) G D,
G = 1 0 G (. G() = 1 0
G ).
( | Yi, iI) ( | (Yi, iI))
- Yi, iI.
: -, (, D)
v (G ) = X dP, G D.
G
() = () < . (, D),
P, , (, D)
P (v << P P(G) = 0 (G) = 0 GD)). Radon-Nikodym f, D-,
v (G ) =
f dP, G D
R-N f
(i) (ii) , ( |D) = f.
( |D) = (+ |D) ( |D).
& ,
44
( | D) (
.. (i), (ii) 1).
, .., (X |())
g(Y) g ( y ) = xf X |Y ( x | y ) dx . .. ( ).
3.7.1. ( 1
2) 1{0,1} (=0, =1) 2{0, 1} . .
= {(,), (,), (,), (,)} -
F = 2 ( , 24 = 16 ). P : P((,)) =
P((,)) = P((,)) = P((,)) = 1/4
. P P R .. ( ..
)
PX ({0}) = P ( X = 0) = P ({(, )}) = 1 / 4 ,
PX ({1}) = P ( X = 1) = P ({(, ), ( , )}) = 1 / 2 ,
PX ({2}) = P ( X = 2) = P ({( , )}) = 1 / 4 ,
( PX ( A) = 14 I A (0) + 12 I A (1) + 14 I A (2) , B(R) (x) = 1 0 xA

). .. ( )
1
1
1
E( X ) = 0 + 1 + 2 = 1 .
4
2
4
(,)
(,)
1/2
(,)
3/2
(,)
X1
X
E(X | X1)
(1) - [ X 1 = 0] = {(, ), (, )}
[ X 1 = 1] = {( , ), ( , )} ,
(1) = {,{(, ), (, )},{( , ), ( , )}, } .
1 1

& ,
45
2
1
1
1
E ( X | X 1 = 0) = xP( X = x | X 1 = 0) = 0 + 1 + 2 0 = ,
2
2
2
i =0
2
1
1 3
E ( X | X 1 = 1) = xP( X = x | X 1 = 0) = 0 0 + 1 + 2 = ,
2
2 2
i =0
E ( X | ( X 1 )) = E ( X | X 1 ) , 1/2 3/2
P ( E ( X | X 1 ) = 1 / 2) = P ( X 1 = 0) = 1 / 2
P ( E ( X | X 1 ) = 3 / 2) = P ( X 1 = 1) = 1 / 2 .
( | 1)
.. ..
1. ( 1)
(1) .
, ( |D) .. D.
D .
3.8.
(i) ( |{,}) = () , ( | F) = X, ( | ()) = . - {,}
( ). F ( ()) , .
(ii) E(X |D) = a = a () 1.
(iii) (aX + bY|D) = a(X |D) + bE(Y |D) a, b.
(iv) (X |D) E(Y |D) X Y 1.
(v) D-, E(XY |D) = XE(Y |D) 1 (E(|XY|),
E(|Y|) < )
(vi) D1 D2, E(E(X |D2)|D1) = E(E(X |D1)|D2) = E(X |D1) 1
(E(|X |) < ). ,
( ) . tower property.
D1 = {,} E(E(X |D)) = E(X).
(vii) - H () D ( |(DH)) = (
|D) . 1. (.. ( | , ) = ( |) , ). , H (), ( |H) = ().
F ( |D) P(A |D)
- D.

& ,
46
3.9.
t, tI
t :(, F, P) (R, B(R)), . = {0, 1, 2, }
= [0,) (
). t t (.. t t).
t R (
(,t) t()R) R ( : R (t) =
t()). ,
. (t) = t(): R (path) i, iI. A .. t
t
t t().
t()
t, tI (.. Z, R)
P ( X u B | ( X t , t t 0 )) = P( X u B | ( X t0 )) , u > t0 ( . 1).
u (u > t0)
(t0) (t < t0) u (t0) ( )
3.10. Martingales
(, F, P) . - F1, F2,
F1 F2 F (filtration). 1, 2, (adapted) F1,
F2, i Fi ( (i) Fi).
Fi ti
t1 < t2 < F1 F2 F,
Fi-1 Fi (
i1 i). , i Fi i
Fi, ti.
Fi Fi
. [i], B(R) Fi
& ,
47
((i) Fi), , Xi.

3.10.1. X0, 1, X2, 0, 1, 2,
( 0)
. . F
. n F
, Fn - . Fn
n. F0 F1 F2 F. n Fn- n n.
1, 2, ( ) F1, F2,
n + 1 n, (n+1| Fn). ,
n n ( n n). .. 1, 2,
(.. ) E(Xn+1|Fn) n+1
n ( n). E(Xn+1|Fn)
n ( n) n n+1,
n,
E ( X n+1 X n | Fn ) = E ( X n+1 | Fn ) E ( X n | Fn ) = E ( X n+1 | Fn ) X n = 0 .

,
.
3.10.1. 1, 2, ( (, F, P)
(R, B(R))) martingale F1, F2,
, (|i|) < , i = 1,2,
E ( X n +1 | Fn ) = X n ,
n = 1, 2,
1 ( submartingale supermartingale).
P-martingale
martingale.
3.10.1. 1,2, martingale F1, F2,
martingale
D1 = (1), D2 = (1, 2), D3 = (1, 2, 3)

- (D 1 D 2 F), 1,
2, (i Di = (1,,i) )
E ( X n +1 | Dn ) = E ( E ( X n +1 | Fn ) | Dn ) = E ( X n | Dn ) = X n .
1, 2, martingale.
& ,
48
E ( X n +1 | X 1 , X 2 ,..., X n ) = X n , n = 1, 2,
1, 2, martingale
D1 =
(1), D 2 = (1, 2), .
3.10.2. E(Xn+1|Fn) = Xn martingale 1, 2, , E ( E ( X n+1 | Fn )) = E ( X n ) ,
E ( X n+1 ) = E ( X n ) = ... = E ( X 0 ) ,
. 1, 2, martingale . ,
E ( X n+2 | Fn ) = E ( E ( X n+2 | Fn+1 ) | Fn ) = E ( X n+1 | Fn ) = X n E ( X n+ k | Fn ) = X n , k = 1,2, .
3.10.2. 1,2, .. (
(, F, P)) (i) = 0
X 1 = Y1 , X 2 = Y1 + Y2 ,
X 3 = Y1 + Y2 + Y3 , . . .
martingale (. (|i|)<). , D1 =
(1), D2 = (1, 2), . i Di = (1, , i) (
- 1, , i ) , n =
1, 2, ,
E ( X n +1 | X 1 , X 2 ,..., X n ) = E ( X n + Yn +1 | X 1 , X 2 ,..., X n ) ,
= E ( X n | X 1 , X 2 ,..., X n ) + E (Yn +1 | X 1 , X 2 ,..., X n ) = X n + E (Yn +1 ) = X n .
3.10.3. .. (||) < F1 F2

X n = E ( Z | Fn ), n = 1,2,...
martingale F1, F2, . , n Fn (

)
E ( X n +1 | Fn ) = E ( E ( Z | Fn +1 ) | Fn ) = E ( Z | Fn ) = X n , n = 1, 2,
.. t ( |Fn) tn < t ( Fn), martingale.
, X n = E ( Z | Y1 , Y2 ,..., Yn ), n = 1,2,... martingale .. 1,2, ( ).
3.10.4. X0
0 W0
. () ()
( .. = 0 ). 1,

X 1 = X 0 + W0 1 .
& ,
49
( 1) W1 2

X 2 = X 1 + W1 2
... Fn n
Wn Fn- ( Wn
n Fn ).
, n Fn - n
. n ,
(n+1 |Fn) = 0. 1, 2, F1
F2 ( n n)
E ( X n +1 | Fn ) = E ( X n + Wn n +1 | Fn ) = X n + Wn E ( n +1 | Fn ) = X n ,
n = 1, 2,
(. 0 Wn a, aR). 1, 2,
1,2, , martingale, W0, W1,
( ).
3.10.2. (stopping time). (, F, P)
F1 F2 F. : {0,1,}
[ = n] Fn .
1, 2, martingale F1 F2 () =
(0) ( () < (|n+1 Xn| |Fn) > 0).
3.10.5. 3.10.4,
1 2 3, ...
.
[ = n]Fn n (. = n) n
( Fn). .
3 (Martingales)
1. .. 1, 2, (i) = 1.
n = Y1Y2Yn, n=1,2, martingale.
2. n, n = 0, 1, 2, martingale
F0, F1, .
(a) n = Xn Xn-1, n = 1, 2, (n+k n | Fn) = 0 (n+k n) = 0 n = 0,1, , k = 1,2,

(b) n, n = 1, 2, .. ; ( ).
3. 1,2, .. P(Yi = 1) = 1 P(Yi = 1)
= 1/2, i = 1, 2, .
X0 = 0, X 1 = Y1 , X 2 = Y1 + Y2 ,
X 3 = Y1 + Y2 + Y3 , . . .

& ,
50
n, n = 0,1, ( ). 3.10.2.
n, n = 0,1, martingale D1 = (0), D2 = (0,
1), ( 1,2, .. (i) = 0).
eX n , n = 0,1,
(.. n = 0,1, ). c S n = c n eX n , n = 0,1, (discounted ) martingale.
4. n, n = 0,1, (. 3). Dn = X n2 cn, n = 0,1,... martingale (
c).
5. 3 4, 1, 2,
(0,2).
6. S0, S1, , 0,1,
S0, S1, . ;
7. S0, S1,
0, 1,... . 0 () 0 , 1 10 ( 10 < 0 )
1 . , 2 21 2 , ...
( ). i ii-1 (
S1, S2, , Si).
(i) , , 0,1,
S0, S1, ;
(ii) n ( )
n
Vn = i1 ( Si Si1 ), n = 1,2,..., N .
i =1
(iii) S1, S2, .SN martingale V1, V2, .,VN martingale.

(iv) , ( martingale) .

& ,
51
4

-
4.1.
.
F
.
t0 < t1 < ti , Fi - .
, Fi

ti. F0 F1 F .
Si = (S1(ti), S2(ti), , S(ti)) (.. , , , ...) ti.
Si Fi - ( ti
).
4.1.1. (dynamic portfolio) (trading strategy)
( ) (
).
xi = (x1(ti), x2(ti), , x(ti)),
1, 2, , ,
ti ( [ti, ti+1)). ( ) , xi Fi .
ti
Vi = xi Si = x j (ti ) S j (ti ) , i = 0, 1,
j =1

F0 F1 .
4.1.2. xi = (x1(ti), x2(ti), , x(ti))
ti (self-financing portfolio)
x i 1 Si = x i Si , i = 1, 2, , n1.

& ,
52
xi-1
xi
ti-1
Si-1
ti
Si
ti+1
Si+1
, ti, xi-1 xi
(.. , .. ...). ti . (self-financing investment strategy)
4.2. n
C (option price option
premium) ( ,
) . .

. n n .
[0, T] n (t0 = 0, t1 = h, t2 = 2h, , tn =
nh = T) S0, S1, , Sn = ST
(S0 ). S1 S0a S0b (0 < a < b)
, 1 p p. , S2
S1a ( . p) S1b ( . 1 p), ... . ,
Si = Si-1a ( . p) Si-1b ( . 1 p), i = 1, 2, , n.
, :
S1
S0
p
1p
S 0b
S 0a
t1
S3
S2
p
S 0b
S0 b3
1p
p
S0ab2
1p
2 p
S 0 a 2b
1p
p
S0ab
1p
S 0a
t2
1p
...
...
S0 a3
t3
...
0 < a < e rh < b .

n .
& ,
53
(, F, P) [0, ].
= (c1, c2,, cn) ci = 1 0 ti (Si = Si-1b) (Si = Si-1a) . .. = (1, 0, 0, 1)
, ... , F = 2.
n
2n F 2 2 . P
= (c1, c2,, cn)
n
ci
P ({}) = P ({(c1 , c 2 ,..., c n )}) = p c1 (1 p )1c1 p cn (1 p )1cn L p cn (1 p )1cn = p i =1 (1 p )
ci
i =1
.. P((1, 0, 0, 1)) = p(1p)(1p) p.

.
k{0,1,2,...,n}, .. Sk Sk : R,
k
ci
S k ( ) = S k ((c1 , c2 ,..., cn )) = S 0 b i=1 a
ci
i =1
, S0, S1,
, Sn {0,1,,n} R ( t1, t2,
, tn) ( ) g
g (k ) = S k ( ), k = 0,1,..., n .
Si, i=1,2,,n.
, .
ti , c1,c2,,ci ( = (c1, c2,, cn) )

A = [ S1 = s1 ,..., S i = si ] F
. Fi - .
. F1
A1 = {(0,c2,,cn), ci{0,1}} = [S1 = S0a],
A2 = {(1,c2,,cn), ci{0,1}} = [S1 = S0b],
F1 = {,1,2,}, F2
B1 = {(0,0,c3,,cn), ci{0,1}} = [S2 = S0a2, S1 = S0a],
B2 = {(0,1,c3,,cn), ci{0,1}} = [S2 = S0ab, S1 = S0a],
B3 = {(1,0,c3,,cn), ci{0,1}} = [S2 = S0ba, S1 = S0b],
B4 = {(1,1,c3,,cn), ci{0,1}} = [S2 = S0b2, S1 = S0b],
F2 = {, 1, 2, 3, 4, 12, 13, 14, 23, 24, 34, 123,

124, 134, 234, }, ... F3, , Fn. Fi
ti (
54
& ,
). F1, F2, , Fn = F ()
S1, S2, ,Sn . , Fk = (S1, S2, , Sk). 0
, F0 ={, }.
,

.
4.2.1. ( ) (, F, Q) , F Q = {c1, c2,, cn}

n
ci
Q ({}) = Q({(c1 , c 2 ,..., c n )}) = q i =1 (1 q )
ci
i =1
q=
e r h a
.
ba
Q ( ) .
(, F, Q) q
(1q). Q
(, F, P) (. ).
.. ( ) [0,).

P. P [S1 = S0b, S2 = S0ab, ,
Sn = S0akbn-k] , ...
n
.
4.2.1. (risk neutral pricing formula) no-arbitrage ( 0)

( , , ) n
C = e rT EQ ( S n K ) + ,
Q .
.
. :
(1) 1 ( 0), r ( t ert),
(2) 2 (.. ), Si ti.
(3) 3 long call 1 exercise price K, option price
C exercise date T Ui ti.
ti
& ,
55
S i = (e rih , Si ,U i ) , i = 0, 1, , n.
() xi = (i, i, 0) ti. 0, 0 0 . ( x0, x1, , xn-1 )
long call .
( T) .
tn-1 ( tn-2) xn-2 = (n-2, n-2, 0) xn-1 = (n-1, n-1, 0).
tn-1 Sn-1 , tn,
Sn-1a Sn-1 b ( p 1 p ).
tn-1 tn,
.
Sn-2
tn-2
xn-2
Sn-1
xn-1
tn-1
Sn
tn
, xn-1
T . , tn,
x n1 Sn = n1 e rnh + n1S n = U n ,
, , U n = ( S n K ) + .

n 1 e r nh + n 1 S n 1b = ( S n 1b K ) +
n 1 e r nh + n 1 S n 1a = ( S n 1a K ) +

n 1 =
b( S n 1a K ) + a( S n 1b K ) +
( S n 1b K ) + ( S n 1a K ) +
.
, n 1 = e r nh
S n 1 (b a)
ba
, tn-1,
x n 1 Sn 1 = n 1 e r ( n 1) h + n 1S n 1 = e r h (q ( S n 1b K ) + + (1 q )( S n 1a K ) + )
q = (e r h a) /(b a ) , . , no-arbitrage
long call tn-1 , ,
U n1 = e rh (q ( S n1b K ) + + (1 q )( S n1a K ) + ) = e rh EQ (U n | Fn1 ) .

& ,
56
tn2 tn1.
tn2 Sn2.
tn1 Sn2a Sn2b. tn2 tn1, . , tn1,
x n2 Sn1 = n2 e r( n1) h + n2 S n1 = U n1
H Un-1 tn-1
.
Ui ti.
Si . vi(s) Ui ti Si = s.

n2 e r( n1) h + n2 S n2b = vn1 ( S n2b)
n2 e r( n1) h + n2 S n2 a = vn1 ( S n2 a )

n2 =
vn1 ( S n2b) vn1 ( S n2 a)

,
( S n2b S n2 a )
n2 = e r ( n1) h
b vn1 ( S n2 a ) a vn1 ( S n2b)

.
(b a )
, tn-2, no-arbitrage
b e rh
e rh a
U n2 = x n2 Sn2 = n2 e r( n2 ) h + n2 S n2 = e rh
vn1 ( S n2 a ) +
vn1 ( S n2b)
ba
ba
= e rh ((1 q )vn1 ( S n2 a ) + qvn1 ( S n2b) ) = e rh EQ (U n1 | Fn2 ) .

, U n1 = e rh EQ (U n | Fn1 ) ,
U n2 = e rh EQ (U n1 | Fn2 ) = e rh EQ (e rh EQ (U n | Fn1 ) | Fn2 ) = e 2 rh EQ (U n | Fn2 ) .

U k = e r ( nk ) h EQ (U n | Fk ) ,
C = U 0 = e rT EQ (U n | F0 ) = e rT EQ (U n ) = e rT EQ ( S n K ) + .
,
,
( ).
( , ). (.. Barrier, Asian, Lookback .., .
) . .
& ,
57
4.2.2.
tn = , Fn Un.
.
4.2.2. (risk neutral pricing formula) no-arbitrage ( 0)
( , )
n
C = e rT EQ (U n ) ,
Q .
.
, tk, k = 0, 1, , n, no-arbitrage
U k = e r (T tk ) EQ (U n | Fk ) .
. ,
3 1 option price C exercise date T. , (S
K)+ o Un.
4.2.1. ( )
( n ) tk, k = 0, 1, , n1,
k =
k = e r ( k +1) h
vk +1 ( S k b) vk +1 ( S k a )
Sk b Sk a
b vk +1 ( S k a) a vk +1 ( S k b)

ba
, , vi(s) Ui ti Si = s. k, k Fk ( S0, S1, , Sk),

tk . k
,
k =
Vk +1 e rhVk Vk
.
S k +1 e rh S k S k
( )
V S
tk (. 6.4.
Delta Hedging)
4.2.1.
.
,
.
& ,
58

.
4.3. no-arbitrage n .
,
.
n
t0 = 0, t1 = h, t2 = 2h, , tn = nh = T, .
(, F, P) F0, F1,, Fn, t0, t1, , tn.
() xk =
(k, k, 0), tk, , x k 1 Sk = x k Sk , k = 1, 2, .., n, S k = (e rkh , S k ,U k )
. n ( )
.
4.3.1. Q (, F) () e rtk S k , k = 0, 1, 2, , n, Q-martingale
F1, F2,, Fn,
Vk* = e rt k x k Sk , k = 0, 1, , n,
( t0, t1, , tn)
Q-martingale (. EQ (| xi Si |) < . )
. xk Fk Sk.
Vk* = e rt k x k Sk , i = 0,1,,n, . , Lebesgue ( ). , k =
0, 1, , n 1,
EQ (Vk*+1 | Fk ) = EQ (e rt k +1 x k +1 Sk +1 | Fk ) = EQ (e rt k +1 x k Sk +1 | Fk ) = EQ (e rt k +1 ( k e rt k +1 + k S k +1 ) | Fk )
= EQ ( k + e rt k +1 k S k +1 | Fk ) = k + k EQ (e rt k +1 S k +1 | Fk )
= k + k e rt k S k = e rt k (e rt k k + k S k ) = e rt k x k Sk = Vk* .
n e rtk S k , k =
0,1,,n, .
4.3.2. n S k* = e rt k S k ,
k = 0, 1, 2, , n Q-martingale F0, F1, , Fn = F
Q .

& ,
59
. S k* = e rt k S k , k = 0, 1, 2, , n,
. , E (e rt k S k ) < ,
EQ ( S k*+1 | Fk ) = EQ (e rt k +1 S k +1 | Fk ) = e rt k +1 (q S k b + (1 q) S k a)
=e
rt k +1
e r h a
b er h
(
Sk b +
S k a) = e rt k S k = S k* .
ba
ba
, n Vk* = e rt k x k Sk ,
k = 1, 2, , n ( ) Qmartingale. .
4.3.1. , Un,
hedgeable Un. ( n )
hedgeable.
n
.
tk
k =
vk +1 ( S k b ) vk +1 ( S k a )
Sk bSk a
, k = e r ( k +1) h
b v k +1 ( S k a ) a v k +1 ( S k b )
ba
, .
4.3.1. n
( hedgeable).
hedgeable n ( ).
4.3.3. , Un, ( ) n :
(i) Q () S k* = e rt k S k , k = 0, 1, 2, , n, martingale ( F1, F2,, Fn)
(ii) Un hedgeable,
no-arbitrage , Uk, tk, k = 0,1,,n,
U k = e r (T tk ) EQ (U n | Fk ) .
. hedgeable, xk tk, k = 1, 2, , n
x n Sn = U n .
, no-arbitrage tk
U k = x k Sk , k = 0, 1, 2, , n.
& ,
60

( ) tk
tn (arbitrage).
(i) , Q S k* = e rt k S k , k = 0, 1, 2, , n martingale.

Vk* = e rt k x k Sk , k = 1, 2, , n,
Q-martingale F1, F2,, Fn. , Vk* = EQ (Vn* | Fk ) , k n,

U k = e rt k Vk* = e rt k EQ (Vn* | Fk ) = e rt k EQ (e rt n U n | Fk ) = e r (t n t k ) EQ (U n | Fk ). .
, no-arbitrage
hedgeable ( ) Q , Q
e rtk S k , k = 0, 1, , n martingale.
4
1. ( r) .
(t0 = 0) S0 t1
= /2 t2 = . d1
d2 = 10% ( 2 ). () (no-arbitrage) C call option ( ) ; () S0 = 100; d1 = 12%, d2 = 10%, T = 2, r = 5%, K = 95, 100,
105.
2. 1, put option ( put-call parity).
3. 1, () ( call option) t0 = 0 0 0 t1 = /2 1
1 . () i, i ()
1.
() ,
t0 t1.
4. n , () ( (,F,P)
(,F,Q) )
P( S n = S 0b x a n x ),
Q( S n = S 0b x a n x )
() b = e , a = e, > rT/n,

& ,
61

1 1 S
Y = ln n + n ,
2 S0
(,F,P) (,F,Q). no-arbitrage 0 , , Un = ln(Sn/S0).

() .. Sn ( (,F,Q))
S0e(2n) ~ n q. no-arbitrage
call option n
n
n
C = e rT ( S 0 e ( 2i n ) K ) + q i (1 q) n i .
i =0
i

& ,
62
5
Brown
5.1. Brown
. (.. ) . n
() . St t,

S ( i 1) h b, . p
S ih =
S ( i 1) h a, . 1 p
h
.
, Sih = S(i1)ha S(i1)hb. Xt = lnSt , ih = X(i1)h
+ lna lnX(i1)h + lnb.
. t, t 0

X (i 1) h + c, . p
X ih =
X (i 1) h + d , . 1 p
t h 0 c,d 0. p
0.5. , .. p 0.5,
t ( 1) ().
t, .
,
X (i 1) h + h , . p
X ih =
X (i 1) h h , . 1 p
p = 1 +
h , i = 1,2,,n.
2
(X0 = 0 x0) , . i = 1 0
i- ,

& ,
63
i =1
i =1
X t = X nh = h Yi h (n Yi ) = 2
tp (1 p )
h =t / n
t
t n
Yi n
n
n i =1
Y np
+ nt (2 p 1) ,
np (1 p )
n , ( , ...),
= 2
i =1 i
in=1 Yi np
d N (0,1) ,
np (1 p)
2 tp (1 p) t ,
nt (2 p 1) = t ,
t ( h0) ..
t Z + t
Z ~ N(0,1)
X t ~ N (t , t 2 ) .
s, s[0, t] ( n = 100 1000)
( = 0, = 1).
1
0.75
0.75
0.5
0.5
0.25
0.25
0.2
-0.25
0.4
0.6
0.8
0.2
0.4
0.6
0.8
-0.25
-0.5
-0.5
-0.75
-0.75
-1
-1
(paths) s, s[0, t].

, s, s[0, t]
g(s) = Xs(), s[0, t] ).
h 0
t+y y. , ,
t , .. t+y y, t > 0 u, 0 u y. t ~ N(t, t2) t+y y ~
N(t, t2) y 0 . : y ( y, y) (. ) Xt = y+t Xy, t > 0
t Xt = y+t Xy ~ N(t,
t2).

& ,
64
t
y
. .
5.1.1. t, t 0 ( R) Brown
R ( - drift parameter) > 0 ( - volatility) (. (,
2)) , y 0, t > 0,
1) .. t+y y ~ N(t, t2).

2) .. t+y y, u, 0 u y (. . (u, u y)).
0 = 0 ( x0).
10 () Brown = 1, =
1 ( t [0,1])
t
O
0.2
0.4
0.6
0.8
-1
.. t = 0.5, 0.5 (0.5, 0.52) = (0.5, 0.5), t = 1 1

(1, 12) = (1, 1) ...
Brown .
Robert Brown, (1827)
.
Albert Einstein (1905)
. , Norbert Wiener
(1918) (
Wiener Process).
& ,
65
10 ( , ) 0 0.
Brown (i) g(t) = Xt() (ii)
. , (..)
X t1 X t 0 , X t 2 X t1 , ..., X t m X t m1 ,
t1 t0 = t2 t1 = = tm tm-1 . (i)
t ( ) h1/2
h, 0 h 0.
5.1.1. ( )
X (i 1) h + h, . p
X ih =
X (i 1) h h, . 1 p
h h
h. (
) t = 0 . 1 ( n ),
.
h , . h1/2 h 0 h.
5.1.2. A t, t 0 ~ BM, t (irregular paths). , t, t 0 (. {Xt(), t 0}
) t ( )
( ).
Brown.
h, h1/2, h1/2/h = h-1/2
h 0. , ( ) .
5.2. Brown
Bachelier, 1900,
Brown ,

(i) , ,
(ii) , ,
(.. 100 100+10=110
h 10 10+10=20
h) . , Boutsikas M.V. (2005-7),
& ,
66
(
100 1001.1=110 10 101.1=11).
,
Sih/S(i-1)h .
S ( i 1) h b, . p
S ih =
S ( i 1) h a, . 1 p
St t. ,
h, St :
S (i1) h e h , . p
Sih =
h
, . 1 p
S (i1) h e
p = 1 +
.
2
, Sih/S(i-1)h
, 0.5.
t = lnSt, Xih = X(i-1)h h1/2 ( p + 1 p
), Xt = lnSt t 0 Brown. , .. Xt+y Xt =
lnSt+y lnSy = ln(St+y/Sy) (t, t2)
Su, 0 u < y.
Brown.
, .
5.2.1. St, t 0 Brown
R ( - drift) > 0 ( - volatility) (. G(, 2)) , y 0, t > 0,
1)
ln
St + y
Sy
~ N (t , t 2 ) , (S0 = 1)
2) .. St+y /Sy Su, 0 u y.

Brown, Brown
. M
St, t 0 (. {St(), t 0} )
t ( ) ( ).
t, t 0 ~ BM(,2), e X t , t 0 ~ GBM(,2). St,
t 0 ~ GBM(, 2) St ,
,
ln St ~ N (t , t 2 ) ,
, ~ (0,1), k .. St
E ( Stk ) = E ((e ln St ) k ) = E ((e
) ) = e kt E (e k
t Z +t k

& ,
tZ
67
,
E (euZ ) =
1
2
1
z2
uz
2
e e
dz =
1
2
1
1
( z u )2 + u 2
2
2
dz =
x = z u
1 2
u
2
1
x2
2
u2
dx = e 2 ,
E ( Stk ) = e
1
kt + k 2t 2
2

E ( St ) = e
1
t( + 2 )
2
, V ( St ) = E ( S ) E ( St ) = e
2
t
1
2t ( + 2 )
2
(et 1) .
10 Brown t, t[0,
1], = 0.1, = 0.8, 10 Brown St
= e X t , t[0,1]. .

Brown
1 ( ), 0.
3
0.2
0.4
0.6
0.8
-1
( = 0.1, = 0.8)
3
St = e X t
1
0.2
0.4
0.6
0.8
-1
G( = 0.1, = 0.8)
t = 1, 1 (1, 12) = (0.1, 0.64), S1
E ( S1 ) = e
1
t( + 2 )
2
1
1( 0.1+ 0.8 2 )
2
=e
= e0.22 1.246 , V ( S1 ) = e
1
2t ( + 2 )
2
(et 1) = e0.44 (e0.64 1) 1.083
Xt ~
BM( = 0.5, = 1) ( ) St ~ GBM( = 0.5, = 1) ( ). Boutsikas M.V. (2005-7),
& ,
68
, t[0,1], Xt ( St) (. ) 0.025, 0.125, 0.25, 0.5, 0.75, 0.875, 0.975 .

2
3.5
1.5
0.975
0.875
0.875
2.5
0.75
0.5
0.50
0.4
0.6
0.8
0.125
0.50
1.5
0.25
0.025
-0.5
0.75
0.25
0.2
0.975
St
0.125
0.025
-1
0.5
t
1
,
Brown.
, , , .
5.3.
() martingale
:
5.3.1. (i) (, F, P) . -
Ft, t 0 ( F) Fs Ft s, t s t (filtration) . t, t 0 Ft, t 0 t Ft ( (t) Ft).
(ii) t, t 0 martingale Ft, t
0 (Ft martingale) , (|t|) < ,
E ( X t | Fs ) = X s , s t
. 1 ( submartingale supermartingale).
t, t 0 Ft B(,2) B(,2), Ft, t 0 .. t+s s
Fy y s. B(,2) Ft B(,2) Ft = (s, s t),
. Wt, t 0,
Brown, B(0,1).
5.3.1. Wt, t 0 Ft B(0,1)

(i) Wt, t 0,
(ii) Wt t , t 0,
2
(iii) e
Wt
2
2
, t 0.
Ft martingale.
. , Wt Ft Wt ~ N(0,t). (|Wt|)
E (Wt ) = t < ( .. ()2 (2)). , s t,
2
.
& ,
69
E (Wt | Fs ) = E ((Wt Ws ) + Ws | Fs ) = E (Wt Ws | Fs ) + E (Ws | Fs ) = E (Wt Ws ) + Ws = 0 + Ws

(ii)
(iii)
.
, Q martingale ()

(hedging portfolio), ( T)
.

. .
.
5.3.1. (
). , ti xi = (i, i) (i i )
Si = ( e rti , Si)
x i Si = x i1 Si , i = 1, 2, ,n.

Vi Vi1 = x i Si xi1 Si1 = xi1 (Si Si1 ) ,

Vi ti. ,
(
i = 1, 2, , k n),
k
i =1
i =1
Vk V0 = (Vi Vi1 ) = xi1 (Si Si1 ), k = 1,2,..., n .

xi, Si Fti - . ti .
xt =
(t, t) t, St = (ert, St)
,
k
i =1
i =1
i =1
Vkh V0 = x (i1) h (Sih S( i1) h ) = ( i1) h (e rih e r ( i1) h ) + ( i1) h ( Sih S ( i1) h ), k = 1,2,..., n
t = kh, h 0,
t
Vt V0 = x de rx + x dS x , t [0, T ] ,

& ,
70
. ()
t
de rx
rx
de
=
dx
=
r
x
x
0
0 dx
0 x e dx
t
rx
Riemann x
( Lebesgue Lebesgue, ).
5.3.2. ( Riemann ) . Riemann .

t
Y = Wx dx
0
Wx, x 0 Brown.
Y ( ) = t0 Wx ( ) dx R,
(Riemann) Wx, x[0, t]. Brown
( ).
Xt
.
Riemann f (x) ( )
t
0
f ( x) dx = sup f (ti ) (ti ti 1 ) ,

i =1
supremum {t0 < < tn} [0, t]. ,

t0 = 0, t1 = h, t2 = 2h, , tn = nh, h = t/n,
t
0
t/h
f ( x) dx = lim f ((i 1)h) (ih (i 1)h) = lim f (ih) h .

h0
h0
i =1
i =1
Riemann Wx, x[0,t],
t
0
t/h
Wx dx = lim Wih h .
h 0
i =1
.. i = Wih W(i-1)h, i = 1,2,,n, .. (0,h) ( Wt Brown).

n
i =1
i =1
hWih = h (Z1 + Z 2 + ... + Z i ) = h(nZ1 + (n 1)Z 2 + ... + 1 Z n ) ,

& ,
71
(n = t/h) .. ( ) 0 ,
n
V hWih = V (h(nZ1 + (n 1) Z 2 + ... + 1 Z n ) ) = h 2 (n 2V ( Z1 ) + (n 1) 2 V ( Z 2 ) + ... + 1 V ( Z n ))

i=1
n(n + 1)(2n + 1) t (t + h)(2t + h)

= h3 (n 2 + (n 1) 2 + ... + 1) = h 3
=
.
6
6
, h , Riemann Wx, x[0,t],
..
t
t3
W
dx
N
~
(
0
,
).
0 x
3
, Riemann, ,
dS x
dx
dx

Sx() ( ). .
x dS x = x
0
5.4. It
t
0
x dS x
[t / h]
i =1
( i 1) h
( Sih S(i1) h )
h .
Brown. , (, F, P)
( ) Ft, t 0.
Wt, t 0, Ft B(0,1). Wt, t 0, Brown, Ft, t 0, .. .. t+s s Fy y s.
t, t [0, T] T > 0 Ft, t 0 , ,
t
E x2 dx < t [0, T].
0
t Wt
.
t , t .
& ,
72
5.4.1. = {t0,t1,,tn} [0, T] (. 0 = t0 < t1 < < tn =

T). t [0, T], ( ) Ft , , [ti-1, ti).
t .
t ()
t0
t1
t2
t3
t4
...
tn
5.4.2. It t, t 0
Wt , t 0, [0, t],
k 1
I t = x dWx = ti (Wti+1 Wti ) + tk (Wt Wtk ) .

t
i =0
k tk t tk+1.
.. t, t [0, T]
(. g(t) = t() ).
Brown .
, It t x, x[0,t]. .. (,)(0,x) : () x, : W Wa (a,
) Wt, x.
5.5. It.
It ( t, t 0) (
t, t 0
).
5.5.1. (i) It Ft .
(ii)
t
0
( x + x ) dWx = x dWx + x dWx ,
t
0
c x dWx = c x dWx ,
0
c (t, t 0, )
(iii) ( It)
t
t
E ( I t2 ) = E ( x dWx ) 2 = E x2 dx , t [0, T].
0
(iv)
& ,
73
I t = x dWx , t [0, T],

0
martingale Ft, t [0, T].

. (i), (ii) .
(iii) t = tk Di Wti+1 Wti .

2
k 1
k 1 i 1
t
k 1
E x dW x = E ( t Di ) 2 = E ( t2i Di2 + 2 t t j Di D j )

i =0
i =0 j =0
i =0
H .. Di t , t j , Dj ( s, s ti, Wt
Ft - (0,1) Di Fti , (s) Fti , s ti,
Dj, j < i Wt )
k 1 i 1
k 1 i 1
E t t j Di D j = E ( t t j D j ) E ( Di ) = 0
i =0 j =0
i =0 j =0
(Di) = 0. ,
2
k 1
k 1
t
k 1
E x dWx = E ( t2i Di2 ) = E ( t2i ) E ( Di2 ) = E ( t2i )(ti+1 ti )
i =0
i =0
i =0
0
t
k 1
= E t2i (ti+1 ti ) = E x2 dx .
0
i =0
tk < t < tk+1 (

).
(iv) H It, t [0, T] , (i), Ft, t [0, T]. ,
E(X2) = E(|X|2) (E|X|)2 ..,
t
E | I t | E ( I t2 ) = E x2 dx < .
0
t, t
. , s < t. s = tm, t = tk, m
< k.
k 1
m 1
k 1
i =0
i=m
E ( I t | Fs ) = E ( t (Wti +1 Wti ) | Ftm ) = E ( t (Wti +1 Wti ) + t (Wti +1 Wti ) | Ftm )

i =0
m 1
k 1
k 1
i =0
i=m
i=m
= t (Wti +1 Wti ) + E ( t (Wti +1 Wti ) | Ftm ) = I s + E ( t (Wti +1 Wti ) | Ftm )
k 1
k 1
k 1
i =m
i =m
i=m
E ( t (Wti+1 Wti ) | Ftm ) = E ( t E (Wti +1 Wti | Fti ) | Ftm ) = E ( t 0 | Ftm ) = 0

& ,
74
E (Wti +1 Wti | Fti ) = E (Wti +1 | Fti ) Wti = 0 , ,

Brown martingale. E(t | Fs) = Is. tm < s < tm+1, tk < t <
tk+1 tk < s < t < tk+1 (
).
t, t [0, T]. t, t [0, T] Ft
. t ( )
t( j ) j = 1, 2 , t
T
lim E | t t( j ) | 2 dt = 0 .
j 0
t( j ) : [0, T] n = 2j (.
t0 = 0, t1 = h, t1 = 2h, , tn = nh = T h = T / 2j, n = 2j) t( j ) ,
t [0, T] [ti, ti+1) ti , i = 1, 2, , n. 4 t( j ) t.
t
t(2)
t(1)
t(4)
(3)
5.5.1. It t, t 0 Wt , t
0 [0, t], t T,
t
0
x dW x = lim x( j ) dW x .
j
t( j ) , t [0, T], j = 1, 2 , t, t
[0, T].
t ( ). ,
It
.
& ,
75
5.5.1.
It
t
0
Wx dWx .
t
0
Wx dWx =
Wt
0
x dx =
Wt 2
.
2
, . Wt, t
[0, T] Ft, t [0, T] :
t
t2
< .
2
E ( Wx2 dx) = E (Wx2 ) dx = x dx =
j. t0 = 0, t1 = h, t1 = 2h, , tn = nh = T h =
T / 2 j, n = 2 j Wt(j), t [0, T]
[ih, (i+1)h) Wih, i = 0, 1, , n1. Wt(j),
n1
I T( j ) = Wx( j ) dWx = Wih (W( i+1) h Wih ) .

T
i =0
(W0 = 0)
n 1
n 1
n 1
n 1
n 1
n 1
i =0
i =0
i =0
i =0
i =0
i =0
(W(i +1) h Wih )2 = W(2i +1) h + Wih2 2W(i +1) hWih = Wnh2 + 2Wih2 2W(i +1) hWih
n 1
n 1
= Wnh2 + 2 Wih2 W( i +1) hWih = WT2 2Wih W( i +1) h Wih ,

i =0
i =0
n 1
1 2 1 n 1
( j)
W
dW
=
W
W
W
=
WT (W( i +1) h Wih ) 2 .
( i +1) h
ih
ih
0 x x
2
2 i =0
i =0
T
.. i = n(W( i +1) h Wih ) 2 , i = 1, 2, , n, ..

E (n(W( i +1) h Wih ) 2 ) = nh = T ,
n 1
(W
i =0
( i +1) h
Wih ) 2 =
1 n 1
Yi E (Y ) = T .
n i =0

n 1
T
1 2 1
1
1
( j)
W
dW
=
lim
W
dW
=
W
lim
(W( i +1) h Wih ) 2 = WT2 T .
0 x x j 0 x x 2 T 2 j
2
2
i =0
T
T ,
t
0
1
1
Wx dWx = Wt 2 t , t 0.
2
2

& ,
76
5.5.1.
k 1
i =0
(Wt i +1 Wt i )
It . , ..
k 1
i =0
t i +1
(Wt i+1 Wt i ) ,
t [ti, ti+1] (
),
(.. WtdWt ).
, , t ,
[ti, ti+1]; (.. )
It
.
, t
[ti, ti+1]
ti. t, t 0 Ft, t 0 t i ti ( .. t i+1
ti).
5.5.2. , t =
x dWx , t [0, T] martingale t0 Wx dWx t [0, T] martingale.
t
0
E ( Wx dWx ) = E ( I 0 ) = 0.
0

t0 Wx dWx = Wt 2 / 2 . ,
t
t t t
1
E ( Wx dWx ) = E (Wt 2 ) = = 0 .
0
2
2 2 2
.
5.5.3. , , .
t
2 Wx dWx = Wt 2 t , t 0
0
2Wx dWx = dWx2 dx, x 0 .

0 t .
( Boutsikas M.V. (2005-7),
& ,
77
), . Wt.
5.5.4. , T,
Wt [0, ]
n 1
1 n 1
Yi = E (Y ) = T ,
n0 n
i =0
lim (W(i +1) h Wih ) 2 = lim

n0
i =0
i = n(W( i +1) h Wih ) 2 , (.
t T), t0 (dWx ) 2 = t (dWt ) 2 = dt . ,

( )
n1
T n1
(W( i+1) h Wih ) = T 0 = 0,
n0 n
i =0
lim (W(i+1) h Wih )(t( i+1) h tih ) = lim

n0
i =0
n1
lim (t( i+1) h tih ) 2 = lim n

n0
n0
i =0
T2
= 0,
n2

(dWt ) 2 = dt ,
dWt dt = 0 ,
(dt ) 2 = 0 .
5.6. It
( f, g),
d
f ( g (t )) = f ( g (t )) g (t ) df ( g (t )) = f ( g (t ))dg (t ) .
dt
( . Riemann)
t
f ( g (t )) f ( g (0)) = f ( g ( x)) g ( x) dx
0
It.

t
f (Wt ) f (W0 ) = f (Wx )dWx

0
( df (Wt ) = f (Wt )dWt ).
, .

Brown.

& ,
78
5.6.1. ( It f (Wt)). f : RR f f Wt ~ (0,1). t

0
t
f (Wt ) f (W0 ) = f (Wx )dWx +

0
1 t
f (Wx )dx .
2 0
. , ,
. , .
df ( g (t )) = f ( g (t ))dg (t ) Taylor f (
x0):
f ( x) = f ( x0 ) + f ( x0 )( x x0 ) +
f ( x0 )
( x x0 ) 2 + , x.
2
(x x0)3. , x = g(t + h), x0 = g(t)

f ( g (t + h)) f ( g (t )) = f ( g (t ))( g (t + h) g (t )) +
f ( g (t ))
( g (t + h) g (t ))2 + ,
2
h 0
df ( g (t )) = f ( g (t ))dg (t ) +
f ( g (t ))
(dg (t )) 2 = f ( g (t ))dg (t ) ,
2
(dg (t )) 2 = ( g (t )) 2 (dt ) 2 = 0 , , (dt)2 = 0. x = Wt+h, x0 = Wt
f (Wt + h ) f (Wt ) = f (Wt )(Wt + h Wt ) +
f (Wt )
(Wt + h Wt ) 2 +
2
h 0
df (Wt ) = f (Wt )dWt +
f (Wt )
f (Wt )
dt
(dWt ) 2 = f (Wt )dWt +
2
2
(dWt)2 = dt.
.
It
(dg(t))2 ( 0 g )
(dWt)2 ( dt).

& ,
79
5.6.1. f (x) = x2/2 It :

t
1 2 1 2
1 t
Wt W0 = Wx dWx + dx
0
2
2
2 0
t0 Wx dWx = Wt 2 / 2 t / 2
It.
5.6.2. ( It f (t,Wt)). f (t, x): R2R

i+ j
f f (i , j ) , i, j = 0, 1, 2,
i
j
t x
Wt ~ (0,1). t 0
t
f (t ,Wt ) f (0,W0 ) = f ( 0,1) ( x,Wx )dWx + f (1, 0 ) ( x,Wx )dx +
1 t ( 0, 2)
f
( x,Wx )dx .
2 0
. , .
Taylor f ( (t0,x0)), (t, x),
f (t , x) = f (t0 , x0 ) + f ( 0,1) (t0 , x0 )( x x0 ) + f (1, 0 ) (t0 , x0 )(t t0 )

+
1 ( 0, 2 )
1
f
(t0 , x0 )( x x0 ) 2 + f (1,1) (t0 , x0 )( x x0 )(t t0 ) + f ( 2,0 ) (t0 , x0 )(t t0 ) 2 + .
2
2
A x = Wt+h, x0 = Wt , t, t0 t + h, t,
f (t + h,Wt + h ) = f (t ,Wt ) + f ( 0,1) (t ,Wt )(Wt + h Wt ) + f (1, 0 ) (t ,Wt )h
1 ( 0, 2 )
1
f
(t ,Wt )(Wt + h Wt ) 2 + f (1,1) (t ,Wt )(Wt + h Wt )h + f ( 2, 0) (t ,Wt )h 2 + ,
2
2
h 0
df (t ,Wt ) = f ( 0,1) (t ,Wt )dWt + f (1, 0) (t ,Wt )dt
1
1
+ f ( 0, 2 ) (t ,Wt )(dWt ) 2 + f (1,1) (t ,Wt )dWt dt + f ( 2, 0 ) (t ,Wt )(dt ) 2 ,
2
2
, (dWt ) 2 = dt , dWt dt = 0, (dt ) 2 = 0 ,
df (t ,Wt ) = f ( 0,1) (t ,Wt )dWt + f (1,0 ) (t ,Wt )dt +
1 ( 0, 2)
f
(t ,Wt )dt .
2

& ,
80
5.6.2. f (t, x) = e x+t (, ) It

t
f (t ,Wt ) f (0,W0 ) = f ( 0,1) ( x,Wx )dWx + f (1, 0 ) ( x,Wx )dx +
1 t ( 0, 2 )
f
( x,Wx )dx
20
eWt + t 1 = eWx +x dWx + eWx + x dx +
1 t 2 Wx + x
e
dx
2 0
2 t Wx + x
e
dx
= eWx + x dWx + +
0
2 0
deWt + t = eWt + t dWt + ( + 2 / 2) eWt + t dt

Brown St = S0eWt + t , t 0 (GBM(,2) S0)
2 t
St S0 = S x dWx + +
S x dx
0
2 0
dS t = S t dWt + ( + 12 2 ) S t dt .
5.7. It
It
t
0
x dWx ,
t, t [0, T] Brown Wt, t 0. Vt . ,

t
0
x dS x ,
St, t 0 ( .. St t),
Brown. Brown

St, t 0, Brown. ,

, Brown.
t
0
x dYx ,
t, t 0 . t, t 0 It .
81
& ,
5.7.1. (It processes It). t, t 0 It

t
Yt = Y0 + H x dWx + Gx dx ,
Wt ~ Ft - BM(0,1), Ht, Gt, t 0,
Ft, t 0
(H 0 F0 , .., , E ( t0 H x2 dx) < , t0 | Gx | dx < t > 0)
St = S0eWt + t It , 5.6.2 Ht = St, Gt = ( +2/2)St. Ht, Gt Ft, t 0, t
Wt St.
t0 x dYx dYx
,
dYx = H x dWx + Gx dx .
.
5.7.2. ( It It). t, t 0
It dYt = Ht dWt + Gt dt t, t 0 Ft, t
0. It t t
t
dYx = x H x dWx + x Gx dx .
.. It, St = S0eWt + t,
t
0
x dS x = x ( S t dWt + ( + 12 2 ) S t dt ) = x S t dWx + ( + 12 2 ) x S t dx .
It
It.
5.7.1. ( It f (t,t), Yt It). f (t,x):R2R

i+ j
f f (i , j ) , i, j = 0, 1, 2,
i
j
t x
Yt to dYt = Ht dWt + Gt dt. t 0
t
f (t , Yt ) f (0, Y0 ) = f ( 0,1) ( x, Yx ) dYx + f (1,0 ) ( x, Yx )dx +
1 t ( 0, 2)
f
( x, Yx ) H x2 dx
0
2
= f ( 0,1) ( x, Yx ) H x dWx + f ( 0,1) ( x, Yx )Gx dx + f (1, 0 ) ( x, Yx )dx

& ,
82
1 t ( 0, 2)
f
( x, Yx ) H x2 dx
0
2
( )
. It f (t,Wt), Taylor f (
Wt t)
1 ( 0, 2 )
1
f
(t , Yt )(dYt ) 2 + f (1,1) (t , Yt )dYt dt + f ( 2,0 ) (t , Yt )(dt ) 2
2
2
2
2
, , (dWt ) = dt , dWt dt = 0, (dt ) = 0 , dYt = H t dWt + Gt dt ,
df (t , Yt ) = f ( 0,1) (t , Yt )dYt + f (1, 0 ) (t , Yt )dt +
(dYt ) 2 = ( H t dWt + Gt dt ) 2 = H t2 (dWt ) 2 + Gt2 (dt ) 2 + 2 H t Gt dWt dt = H t2 dt ,

dYt dt = 0,
df (t , Yt ) = f ( 0,1) (t , Yt )dYt + f (1,0 ) (t , Yt )dt +
1 ( 0, 2)
f
(t , Yt ) H t2 dt
2
= f ( 0,1) (t , Yt ) H t dWt + f ( 0,1) (t , Yt )Gt dt + f (1, 0 ) (t , Yt )dt +
1 ( 0, 2)
f
(t , Yt ) H t2 dt .
2
.
( Taylor
) .
5.7.2. ( It f (t,t), Xt, Yt

It). f (x, y): R2R
i+ j
f f ( i , j ) , i, j = 0, 1, 2, Xt, Yt to. t 0
t i x j
df ( X t , Yt ) = f ( 0,1) ( X t , Yt )dYt + f (1,0 ) ( X t , Yt )dX t +
+ f (1,1) ( X t , Yt )dYt dX t +
1 ( 0, 2 )
f
( X t , Yt )(dYt ) 2
2
1 ( 2, 0)
f
( X t , Yt )(dX t ) 2
2
f (x, y) = xy ,
It.
5.7.1. ( It). t, Yt It,
d ( X t Yt ) = X t dYt + Yt dX t + dYt dX t .

. Boutsikas M.V. (2005-7),
& ,
83
() Q (, F) martingale ()
. . () Girsanov ()
martingale .
5.8. Girsanov
Z .. (, F, P) [0,) 1 ( Z > 0 .
1), Q: F [0,1] F
Q ( ) = Z dP = ZI A dP = E P ( Z I A ) ,
( = 1 0 )
(, F). ,
, .. Z Radon-Nikodym Q P, , Z = dQ/dP.
, .. ,
EQ ( X ) = X dQ = X ZdP = E P ( X Z ) .
(, F, P) Ft, t
[0,].
Z t = E P ( Z | Ft ), t [0, T ] ,
P-martingale , 0 s < t T,
E P ( Z t | Fs ) = E P ( E P ( Z | Ft ) | Fs ) = E P ( Z | Fs ) = Z s , t [0, T ] .
( ) 0 s t T,
EQ (Y | Fs ) =
1
E P (Y Z t | Fs )
Zs
.. Ft .
5.8.1. ( (, F) P Q ..). W: (, F, P) R W ~P (0, 1).

O ~P P.
, W + ~P N(,1).
P , Q, ,
, .. W + (0,1) ( W + ~Q (0,1)).
(, F) Q ,
Z ..
Z =e
W 12 2

& ,
84
.. Z , Z > 0 P(Z) = 1. Q , .. W

Q (W w) = EP ( Z I[W w] ) = EP (e
1
W 2
2
I[W w] ) =
1
x 2
2
1
x2
2
dx =
1
2
1
w ( x + ) 2
2
dx
W ~Q N(, 1), W + ~Q N(0,1). PW =

QW+ = (0,1) PW P R .. W QW+
Q R .. W + ).
(, F, P) Ft
Wt, t 0 ~ Ft - (0,1). Wt, t 0 Brown P
Wt ~P (0,1). : t, t 0 Ft P Q
t
Wt + x dx ~Q Ft - (0,1);
0
.
5.8.1. (Girsanov). (, F, P) Ft, t [0,] Wt, t [0,] ~ Ft - (0,1). t, t [0,] Ft.
t
Wt = Wt + x dx ~Q Ft - (0,1)
0
( Brown Q)
Q F Q ( ) = E P ( Z T I A ) ( dQ = Z dP)
t
Z t = exp( x dWx
0
1 t 2
x dx) .
20
T
( P(T) = 1, E P ( 2x Z x2 dx) < )

0
. ( Levy):
t martingale X0 = 0, (dXt)2 = dt
~ (0,1). Wt martingale , W0 = 0, (dWt)2 = dt.
5.8.1. t
Z t = E P ( Z T | Ft ), t [0, T ] (. ) Ft .. ,
EQ (Y | Fs ) =
1
E P (Y Z t | Fs ) , 0 s t T.
Zs

& ,
85
5.9. martingale
5.9.1. ( martingale). (, F, P) Wt, t [0,]
~ (0,1). Mt, t [0,] martingale Ft, t [0,],
Wt, t [0,], (. Ft = (Wx, x t)) Ft Gt, t
[0,]
t
M t = M 0 + Gx dWx , t [0, T ] .
0
( 5.5.1) It Wt ~ (0,1)
martingale Wt.
martingale : martingale, t, Wt It Wt (
M0). t martingale
Wt. t Ft = (Wx, x t) , t
[0,], Mt Wx, x t.

& ,
86
6

Black and Scholes
6.1. Black Scholes ( Black Scholes Merton)

[0, T]
.
F . (, F)
Brown Wt, t[0, T] Ft = (Wx, x t), t[0, T].
O (, F) P.
:
1 (riskless asset). ( 0)
r. t ert. , () t e rt.
2 (risky asset). (.. ) t St. ,
St, t[0,T] Brown S0,
St = S0eWt + t ,
Wt, t[0,T] ~ (0,1) (drift), (volatility) .
It ( 5.6.2) St
1
d St = St dWt + ( + 2 ) St dt .
2
3 (derivative). ( ). ,
.. UT F ( .. UT ).
, Ft, t[0, T]
Wt, t[0,T]. , UT F
UT
Wt, t[0,T], .

t [0, T].
F. Black, M. Scholes ( R. Merton) 1973
. Nobel 1997
& ,
87
.
( martingales)
( ) .

. ( ) UT . ..
UT = (ST K)+. arbitrage t [0, T].
t
t t , xt = (t, t).
Vt = xt St = e rt t + t St ,
(St = (e rt , St ))
t [0, T].
(. 5.3.1),
dVt = t dert + t dSt ,

[t, t+dt] (dert = ert rdt) (dSt), .
. H

Vih V( i 1) h = x ih Sih x (i 1) h S( i 1) h = x (i 1) h (Sih S(i 1) h )
= (i 1) h (e rih e r ( i 1) h ) + ( i 1) h ( S ih S ( i 1) h )
5.3.1 .
Vt * = e rtVt St* = e rt St () t .
.
6.1.1.
t ,
t
Vt* = V0 + t St*dWt ,
0
Wt = Wt + t , =
r + 12 2
.
. dVt = t dert + tdSt, Vt = ert +

tSt de-rt = re-rt,
dVt* = d (e rtVt ) = e rt dVt + Vt de rt + dVt de rt = e rt ( t de rt + t dSt ) + (e rt t + t S t )de rt + 0

= e rt t de rt + e rt t dSt + e rt t de rt + t S t de rt = t (e rt dSt + S t de rt ) = t dSt* .
& ,
88
, d S t = S t dWt + ( + 12 2 ) S t dt ,
dS t* = e rt dS t + S t de rt = e rt ( S t dWt + ( + 12 2 ) S t dt ) re rt S t dt
= e rt S t ( dWt +
+ 12 2 r
dt ) = S t*dWt ,
, dVt * = t dS t* = t S t* dWt ,
.
Q (, F), Wt Brown BM(0,1) ( P BM(0,1)) Vt* Qmartingale ( It Wt , . 5.5.1.(iv)). ,
Vt* = EQ (VT* | Ft )
Vt = e rt EQ (e rT VT | Ft ) = EQ (e r (T t )VT | Ft ) ,
t[0,T].

VT = UT ( T) t ( UT)
no-arbitrage .
Q
, . Girsanov
martingale.
6.1.1. (risk neutral pricing formula) Black-Scholes(-Merton): ()
( ) T
UT t no-arbitrage
U t = e r (T t ) EQ (U T | Ft ) ,
t[0,T],
Q dQ = Z dP ZT = exp(WT 12 2T ) (
Q ( ) = E P ( Z T I A ) , AF).
() Q, St, t[0,T]
Brown r 2/2 2 (GBM(r 2/2, 2)).
. () Girsanov, It
t
Wt = Wt + t = Wt + dx , =
0
r + 12 2
,
Brown Ft - (0,1) Q
: F Q ( ) = E P ( Z T I A ) Z t = exp(Wt 12 2t ) .
(. 6.1.1)
t
Vt* = V0 + x S x*dWx ,
0
t [0,T]

& ,
89
V0 It Wt (0,1) Q.
( 5.5.1.(iv)), Vt* Q - martingale ,
Vt* = EQ (VT* | Ft )
Vt = e rt EQ (e rT VT | Ft ) = EQ (e r (T t )VT | Ft ) ,
t[0,T].

V = UT, T, . .
U t = EQ (e r (T t )U T | Ft ) , t [0, T].
Vt t,
Vt = U t , t [0, T] VT = U T .
U t* = e rtU t , t[0,T] Qmartingale Ft, t [0,]. , s < t < T,
EQ (U t* | Fs ) = e rt EQ (U t | Fs ) = e rt EQ ( EQ (e r (T t )U T | Ft ) | Fs )
= e rt EQ (e r (T t )U T | Fs ) = e rsU s = U s* .
Ft, t [0,] Wt Wt . , Wt, Q, BM(0,1).

, martingale Ft
Gt, t [0,]
t
U t* = U 0 + G x dWx, t [0, T ] .
0

V0 U0, t [0,]
G
t = x * ,
Sx
t,
t G
t
t
*
x
Vt * = V0 + x S x*dWx = U 0 +
S
d
W
=
U
+
Gx dWx = U t* , t [0,].
x
x
0
0
0 S*
0
x
Vt = U t , t [0, T] ( t t V0 ).
,
no-arbitrage Vt = Ut t [0,].
arbitrage:
t , T.
() Wt = Wt t , St t
& ,
90
S t = S 0 eWt + t = S 0 e (Wtt ) + t = S 0 e (Wtt ) + t = S 0 e
Wt+ ( r 12 2 ) t
Wt = Wt + t (0,1) Q. , Q, St,
t[0, T] Brown r 2/2.
St, t[0,T] ~Q GBM(r 2/2, 2) ,
EQ ( S t ) = e
t (( r
2
2
1
)+ 2 )
2
= e rt , t[0, T],
, Q, .
, (,
, ).
, . P
Q
(risk neutral probability measure). Q . , no-arbitrage
.

no-arbitrage . .
6.1.2. ( Black and Scholes) Black-Scholes(-Merton),
no-arbitrage (call option, , , ) t
c(t , St ) = St ( ) e r (T t ) K ( T t ) ,
=
r (T t ) + 2 (T t ) / 2 ln( K / S t )
T t
, N(0,1),
(volatility) r .
.
UT = (ST K)+,
c(t , St ) = U t = e r (T t ) EQ (( ST K ) + | Ft ) ,
, Q, St, t[0,T], GBM(r 2/2, 2). , Wt, St ( ), , Ft = (Wx, x t) = (Sx, x t).
c(t , St ) = e r (T t ) EQ (( ST K ) + | Ft ) = e r (T t ) EQ (( ST K ) + | S x , x t ) = e r (T t ) EQ (( ST K ) + | S t ) .
, Brown, St . .. Sx, Su/St, x t u,
( GBM), ST = (ST/St)St, St
S /St Sx, x t.
& ,
91
St, t[0,T] ~Q GBM(r 2/2, 2),

.. ln(ST / St) ~Q N((T t)(r 2/2), (T t)2). ,
t St = s, ( .. ST/St St),
c(t , s ) = e r (T t ) EQ (( S t
ST
(T t )( r 12 2 ) +
K ) + | S t = s ) = e r (T t ) E (( s e
St
T t Z
K )+ ) ,
Z .. N(0,1). I( > ) = 1
> 0 , a 0, b
E ((e aZ +b K ) + ) = E ((e aZ +b K ) I (e aZ +b > K )) = E (e aZ +b I (e aZ +b > K )) E ( K I (e aZ +b > K ))
= eb E (e aZ I ( Z > ln Ka b )) K P( Z > ln Ka b )
E (e I ( Z > x)) = e
aZ
az
= ea
/2
ea / 2
1 z2
e dz =
2
2
(1 ( x a )) = e a
/2
( z a)2
2
ea / 2
dz =
y = z a
2
xa
y2
2
dy
(a x) ,
( .. (0,1))
2
E ((e aZ + b K ) + ) = e b + a / 2 (a ln Ka b ) K ( b lna K ) .

c(t , s ) = s e r (T t ) E ((e
= s e r (T t ) (e
= s (
(T t )( r 12 2 )+ T t Z
Ks ) + )
(T t )( r 12 2 ) + ( T t ) 2 / 2
r (T t ) + 12 2 (T t ) ln Ks
T t
( T t
) e r (T t ) K (
ln Ks (T t )( r 12 2 )
T t
(T t )( r 12 2 ) ln Ks
T t
) Ks (
(T t )( r 12 2 ) ln Ks
T t
))
.
Black and Scholes (B-S)
1973 Fisher Black Myron Scholes.
.
St .
6.1.1. ( no-arbitrage ).
(put option, ) (
ST)+. , 6.1.1, no-arbitrage t
c put (t , St ) = e r (T t ) EQ (( K ST ) + | Ft ),
St , t [0, T ] ~ Q GBM (r 12 2 , 2 ) .
a , a+ ( a) + = max(a,0) max( a,0) = a ,

( K ST ) + ( ST K ) + = K ST . ,
c put (t , S t ) = e r (T t ) EQ (( K ST ) + | Ft ) = e r (T t ) EQ (( ST K ) + | Ft ) + e r (T t ) EQ ( K ST | Ft )
= ccall (t , S t ) + e r (T t ) K e rt EQ (e rT ST | Ft ) = ccall (t , S t ) + e r (T t ) K S t ,
& ,
92
( ccall(t,s) no-arbitrage call option B-S).

ertSt, t[0,T] Q-martingale.
6.1.2. ( )
6.1.2
( ) UT = g(ST) g , no-arbitrage t St = s,
c g (t , s ) = e r (T t ) EQ ( g ( ST ) | S t = s ) = e r (T t ) EQ ( g ( S t e ln( ST / St ) ) | S t = s ) = e r (T t ) EQ ( g ( s e N )) ,
.. N = ln(ST / St) ~Q ((T t)(r 2/2), (T t)2). , UT = g(Sx, x[0,T]),

T [0,] (.. . exotic
options ) , no-arbitrage t,
c g (t ,{S x , x [0, T ]}) = e r (T t ) EQ ( g ( S x , x [0, T ]) | S x , x t ) ,
( Q), St, t[0,T] GBM(r 2/2, 2).
6.1.3. ( call option ). H no-arbitrage
no-arbitrage . . , t < ,
St K. t ( St) T min{K, S} ( , ) St min{K, ST}
St K.
6.1.4. ( put option ). ,
.
.
.
( ).
6.2. Black-Scholes .

t :
() St , .. .
t (.. ).
() H T ( ) .
& ,
93
() r
( , ,
). .. 3 (92 ) 98 ,
100 , (t = 92/365 0.25),
98e 0.25 r = 100 r =
1
100
ln
0.081
0.25 98
, r .
() (volatility) , :
(i) . , S1, S2, , Sn, n . n
( ) (
). n = 30 180 . B-S ..
X i = ln
Si
, i = 1 ,2, , n1,
S i +1
(,2) = 1/260 ( 260 ). 2 X1,

X2, , Xn-1:
2 =
1 1 n 1
( X i X )2 .
n 2 i =1
(ii) . (i) n .
2
() n
2 (). (.. ).
(iii)
(implied volatility). 2, (.. )
2 .
2
. ,

.
, ,
B-S 2 . 2
(implied volatility).
B-S
(.. Newton Raphson).
94
& ,
implied volatility.
( ) 2.
2 .
6.2.1. () ( ) (
). 10 . (T t = 80/365), (T t = 140/365) (T t =
200/365) strike prize = 8, 9, 10, 11, 12 , ( 35 = 15 ). r 0.05 (volatility)
= 0.2. B-S no-arbitrage
, ( .. 100 100)
Strike price,
8
9
10
11
12
2.088
2.162
2.240
1.143
1.267
1.383
0.428
0.590
0.727
0.098
0.212
0.322
0.0135
0.059
0.122
6.2.1. ,
-(iii)). no-arbitrage B-S (
r, 2). :
) noarbitrage , (arbitrage), .
, ,
.
)
.
) no arbitrage St, t [0, ]
Brown, .
,
(.. , ,
, , ..). , no-arbitrage B-S
.

& ,
95
6.3. B-S
no-arbitrage t
Black and Scholes:
c(t , s) = e r (T t ) EQ (( s e N K ) + ) = s ( ) e r (T t ) K ( T t ) ,
=
r (T t )+ 2 (T t ) / 2ln( K / s )
T t
, ,
c put (t , s) = e r (T t ) EQ (( K s e N ) + ) = c(t , s ) s + Ke r (T t ) .
N ~Q ((T t)(r 2/2), (T t)2).

( ) .
() s (= St) t, c(t,s) (
cput(t,s) ). c(t,s) s

Delta =
c(t , s ) = ( ) = ( r (T t )+ (T Tt )/t 2ln( K / s ) ) .

s
,
( ).
s
Gamma =
1
2
( ) ,
c(t , s ) =
2
s
s T t
= .
c(t, s) s.
() , c(t, s)
cput(t, s) .
() t, c(t, s) .
t
Theta =
( ) ,
c(t , s ) = rKe r (T t ) ( T t )
t
2 T t
= .
.
() r, c(t, s) .
r
Rho =
c(t , s ) = K (T t )e r (T t ) ( T t ) ,
r

.
() volatility , c(t, s) .

& ,
96
Vega =
c(t , s ) = s T t ( )

.
Delta, Gamma, Theta, Rho, Vega ,
the Greeks. ,
.
c(t,s) r = 0.05, = 0.20, = 100. c(t,s) s = St 80 110 t = t0, t1,
, t6 = T ( , t).
12
t0 = 0
c(t, s)
t0 = 0
t1 = 15/365
t2 = 30/365
t3 = 45/365
t4 = 60/365
t5 = 75/365
t6 = 90/365 = T
10
...
t6 = T
s = St
90
95
100
105
110
t T c(t, s)
: (ST K)+. c(t, s)
. in-the-money
(St > K) , out-of-the-money (St <
K) .
6.4. (Delta Hedging)
no-arbitrage , t, t
t . t ( ), ( ) r ( t t
tert). t (Vt) , ,
c(t , St ) = Vt = e rt t + t St ,
St t. martingale

() ( t, t t).
97
& ,
t
t =
r (T t ) + 12 2 (T t ) ln SKt
),
c(t , St ) = (
s
T t
, t Delta t
( t, . Ft ). t
c(t , St ) = e rt t + t St .
n . tkh, (. 4.2.1.)
kh =
v( k +1) h ( S kh e
S kh e
) v( k +1) h ( S kh e
h
S kh e
t = kh, h 0,
vt ( St (1 + h )) vt ( St (1 h ))
v ( S + x) vt ( St x) dvt ( s )
= lim t t
=
h0
x 0
ds s = S t
2x
St 2 h
t = lim
, vt(s) t
St = s.
.
(long call) t,
t, () s, () c. ,
t () c.
t =
c
c(t , St ) ,
s
s
() c ts. t
t ,
() (long position call short position
). short call t
t (short position call long position ).
, (long short) ,
. , ,

(t, t) t[0,T]. ,
( ) .
short call. [0,T] n
& ,
98
h = T/n ih ih
ih . ih = Delta
.
iherih + ihSih = (i-1)herih + (i-1)hSih ( x i Si = xi1 Si
), ih ,
ih = (i 1) h e rih ( ih ( i 1) h ) Sih , i = 1, 2, , n,
0 = c(0,S0) 0S0, V0 = 0e0+0S0 = c(0,S0).
ih ( ).
, ()
call option.
Vnh = e rT nh + nh S nh = ( ST K ) + .
:
- t = 0 0 0 = 0S0 ( r).
- t = h ( ) h 0 ( h). h = 0 erh (h 0)Sh.
- t = 2h ( ) 2h h ( 2h). 2h = h erh (2h h)S2h.
...
- t = nh = T ( ) nh (n-1)h (
nh). nh = (n-1)h erh (nh (n-1)h)Snh.
ih = c(0,S0) + e-rihih, i = 0, 1, ,n,

VT = T + T ST = ( T c(0, S0 ))e rT + T ST = c(0, S0 )e rT + ( ST K ) + .

, T,
A ST > K, 1 c(0, S 0 )e rT K ().
A ST K, 0 c(0, S0 )e rT ().
long call
c(0,S0) 0 ( c(0,S0)erT ) (ST K)+ .
short call () . n . [0,] .
(Delta hedging).
( )
() .
,
volatility
.
99
& ,
Delta hedging call option r = 0.05, = 0.1, = 100, S0 =

100, T = 90 (=90/365) (
). 10 (h = 10/365, n = 9).
i
0
1
2
3
4
5
6
7
8
9
t = ih
0/365
10/365
20/365
30/365
40/365
50/365
60/365
70/365
80/365
90/365
St
100.000
100.660
101.985
099.088
100.199
101.294
099.718
101.205
103.181
102.232
.
t = Deltat
0.607616
0.654718
0.754831
0.498892
0.601524
0.71577
0.52365
0.739036
0.976318
1.

. .
t t-h
0.607616
0.0471023
0.100113
-0.255939
0.102631
0.114247
-0.19212
0.215385
0.237282
0.023682
. .
(t t-h)St
-60.7616
-4.74134
-10.21
25.3607
-10.2836
-11.5724
19.1579
-21.798
-24.4831
-2.42106

( r)
t = t-h eh (t t-h)St
-60.7616
-65.5862 = -60.7616erh 4.74134
-75.8861 = -65.5862erh 10.21
-50.6295 = -75.8861erh + 25.3607
-60.9825 = -50.6295erh 10.2836
-72.6385 = -60.9825erh 11.5724
-53.5802 = -72.6385erh + 19.1579
-75.4517 = -53.5802erh 21.798
-100.038 = -75.4517erh 24.4831
-102.596 = -100.038erh 2.42106
( option . options .. 100 1000 , t 100 1000 ...)
, T 1 102.596.
ST K 2.596. long call c(0,S0) = 2.64167 0, T ( in-the-money) ( T)
ST K 2.67444 (2.67444 2.64167erT).
. short call (
). , h (.. 1 ) .
Delta hedging
, K.
i
0
1
2
3
4
5
6
7
8
9
t = ih
0/365
10/365
20/365
30/365
40/365
50/365
60/365
70/365
80/365
90/365
St
100
97.9003
95.195
94.6433
96.152
97.585
99.1964
101.528
99.2565
99.4853
.
t = Deltat
0.607616
0.422393
0.18846
0.128205
0.19582
0.288966
0.450755
0.781264
0.35948
0

. .
t t-h
0.607616
-0.185223
-0.233933
-0.0602549
0.0676145
0.093146
0.16179
0.330508
-0.421784
-0.35948
. .
(t t-h)St
-60.7616
18.1333
22.2692
5.70272
-6.50127
-9.08965
-16.0489
-33.5558
41.8648
35.763

( r)
t = t-h eh (t t-h)St
-60.7616
-42.7115 = -60.7616erh + 18.1333
-20.5008 = -42.7115erh + 22.2692
-14.8262 = -20.5008erh + 5.70272
-21.3478 = -14.8262erh 6.50127
-30.4667 = -21.3478erh 9.08965
-46.5574 = -30.4667erh 16.0489
-80.1770 = -46.5574erh 33.5558
-38.4221 = -80.1770erh + 41.8648
-2.71182 = -38.4221erh + 35.763
, T 0 2.71182.
( < 0) 2.71182. long call
c(0,S0) = 2.64167 ( 0), T
( T) 2.67444 2.64167erT.
& ,
100
short
call .
6.4.1. ( ). (.. , , ..) (

).
6.5. (exotic options)
(
vanilla options), exotic options. exotic options :
1. Barrier options. (alive
killed) (.. ) 0
T (barrier).
4 :
down-and-in: alive
u (u < S0) .
down-and-out: dead
u (u < S0) .
up-and-in: alive u (u > K) .
up-and-out: dead u (u > K) .
, u
.
2. Asian options.
( St,
t[0,T]). : K (strike prize)
,
t (.. ).
3. Lookback options.
. , K (strike prize) ,
(.. ).
B-S, no-arbitrage Ut ( t)

U t = e r (T t ) EQ (U T | Ft )
t[0,T],

& ,
101
, Q, St, t[0,T] GBM(r 2/2, 2).

.. Lookback options
U T = ( ST inf{S x , x [0, T ]}) +
no-arbitrage 0,
U 0 = e rT EQ (( ST inf{S x , x [0, T ]}) + ),
St ~ Q GBM (r 12 2 , 2 ) .
, Asian option
U T = ( ST
1 n
SiT / n ) + ,
n i =1
Asian option
UT = (
1 n
SiT / n K ) + ,
n i =1
U T = ( ST
1 T
S t dt ) + ,
T 0
UT = (
1 T
S t dt K ) + .
T 0
, down-and-in Barrier option

U T = ( ST K ) + I (inf{S x , x [0, T ]} < u ) ,
...
(.. Lookback, Barrier) call
options, ( )
(.. Asian options).
6.6. Black Scholes

(volatility), (drift)
Black Scholes ( Merton) volatility , drift , r [0,T] ( ) , t, t, rt .
t,
t, rt Ft , Ft, t[0, T] Brown
Wt, t[0, T]. Wx, x[0, t]
t, x, x, rx ( t, t, rt
Wt).
[0, T]
. (, F, P).
Brown Wt, t[0, T] Ft = (Wx, x t),
t[0, T]. Black Scholes,
:
1 (riskless asset). ( 0). rt, t[0, T],

Ft. (. 2.1.3.) 0 t,
& ,
102
exp( t0 rx dx) . , ()
t
1
t
D =e
0 rx dx
(discount process)
It, Yt = t0 rx dx , f (y) = ey, dDt1 = df (Yt ) = e Yt dYt = Dt1 rt dt .
2 (risky asset). (.. ) t St. B-S St, t[0,T] Brown

( S0), St = S 0eWt + t
d St = St dWt + ( + 12 2 ) St dt ,
, . St
d St = t St dWt + ( t + 12 t2 ) St dt ,
t, t, t[0,T] Ft. St
It
t
St = S0 e
0 x dWx + 0 x dx
, It, t = x dWx + x dx St = S0 eYt . f(t, x) = ex

It
df (t , Yt ) = f ( 0,1) (t , Yt )dYt + f (1, 0) (t , Yt )dt + 12 f ( 0, 2) (t , Yt ) H t2 dt
t
0
t
0
deYt = eYt dYt + 12 eYt t2 dt = eYt ( t dWt + t dt ) + 12 eYt t2 dt

dSt = St ( t dWt + t dt ) + 12 St t2 dt .
3 (derivative). ( ). .. UT
F ( .. UT ).

t [0, T]. B-S , , r
.
UT . t t t ,
xt = (t, t). t
Vt = Dt t + t S t ,
( B-S)
dVt = Dt t rt dt + t dSt .
Vt* = Dt-1Vt St* = Dt-1St ()
t . Boutsikas M.V. (2005-7),
& ,
103
B-S ( ).
6.6.1. t
t
Vt* = V0 + x x S x*dWx ,
0
Wt = Wt + x dx , x =
0
x rx + 12 x2
.
x

B-S. , .
6.6.1. (risk neutral pricing formula) Black-Scholes:

( ) T
UT t no-arbitrage
T
U t = EQ ( e t
rx dx
t[0,T],
U T | Ft )
Q: Q ( ) = E P ( Z T I A ) , AF, Z t = exp( t0 x dWx 12 t0 2x dx) , x =
x rx + 12 x2
x
. Girsanov, It
t
Wt = Wt + x dx , x =
0
x rx + 12 x2
x
Brown ((0,1)) Q .
t
Vt* = V0 + x x S x*dWx , t [0,T],

0
Q - martingale Vt* = EQ (VT* | Ft ) ,

t
Vt = e
0 rx dx
EQ ( e 0
VT | Ft ) = EQ (e t
rx dx
rx dx
VT | Ft ) ,
t[0,T].
.. exp( t0 rx dx) Ft - .
T
U t = EQ (e t
rx dx
U T | Ft ) , t [0, T]. -
Vt t, Vt = U t , t [0, T].
U t* = Dt1U t , t[0,T] Qmartingale Ft, t [0,].
M t = U t* Z t P-martingale. , Z s EQ (Y | Fs ) = E P (Y Z t | Fs ) ( Ft .. , . 5.8),
E P (U t* Z t | Fs ) = Z s EQ (U t* | Fs ) = Z sU s* , s < t.
H M t = U t* Z t , t [0,] P - martingale Ft, t [0,],
Wt, t [0,], , martingale
Ft Gt, t [0,]
104
& ,
M t = M 0 + Gx dWx , t [0, T ] ,
0
dM t = Gt dWt . U t* = M t / Z t
dU t* = d ( M t
1
1
1
1
) = dM t + M t d + dM t d .
Zt
Zt
Zt
Zt
It d(1/Zt) =
G M
dU t* = t + t t
Zt
Zt
G M
( dWt + t dt ) = t + t t
Zt
Zt
t
Zt
dWt +
t2
Zt
dt
dWt GtdWt .
, U t* ,
t
U t* = U 0 + G x dWx ,
0
Gt Ft, t [0,].
U0, t [0,]
x = Gx /( x S x* )
t
Vt * = V0 + x x S x*dWx = U 0 +
t
Gx
x S x*dWx = U 0 + Gx dWx = U t* , t [0,].
*
0
xSx
Vt = Ut, t [0, T]. , noarbitrage t [0,].
6.6.1. , St t
t
St = S 0 e
dWt = dWt
t rt + 12 t2
t
0 x dWx + 0 x dx
dt
t
0 x dWx + 0 ( rx 12 x ) dx
2
,
St = S0 e
Wt Brown Q. .. t, rt, t ( , Wt).
, , B-S B-S
. ,
()
Brown.
(Brownian motion and with jumps) .. Poisson.
& ,
105
5 (. 5.1 - 5.2) 6 (. 6.1 - 6.2)

1. t, t 0 Brown
( X0 = 0), 3, 6 4, 7
1. ;
2. t, t 0 ~ BM(0,1) E(XtXs) = min{s,t} s 0, t 0.
3. St, t[0,T] [0,], > 1 (
), Brown =
0.3 (drift) = 0.1 (volatility), t =
3/12 ( ) 110 (, t = 0, S0
= 100). ;
4. St, t[0,T] [0,], ( ), Brown = 0.5
(drift) = 0.2 (volatility),
T=6/12 = 105. (, t = 0,
S0 = 100).
5.
10 ( ): 18.8, 19.4, 19.7, 18.9, 18.4, 17.9, 18.7, 19.4, 19.9, 19.3. volatility .
6. , ,
100 5 (
). 19.3 . T = 3/12 T = 5/12 strike prize =
18, 19, 20 , ( 23 = 6 ). r 0.04, no-arbitrage ( 5).
7. 6: no-arbitrage
, .
8. ln ST . St [0,T] Brown , 2.
0; ( arbitrage).
9. , ST2 . ,
St [0,T] Brown , 2.
0; (
arbitrage).
10. no-arbitrage
(. Black and Scholes) , t
T.
& ,
106
11. , , 5 30 . 25
4 , () volatility (implied volatility). () r =
0.04.

& ,
107

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:

, Black and Scholes.

1. (stock lending Repo). . ( ).

6. C ( - Option price, option premium) .

Boutsikas M.V. (2005-7),

C C (ST K)+. (o , writer), ,

Boutsikas M.V. (2005-7),

Boutsikas M.V. (2005-7),

Boutsikas M.V. (2005-7),

(ST K1)+ C1 + C2 (ST K2)+ = ( ST K1 ) + C2 C1 , K1 ST K 2

(ST K1)+ (ST K2)+ = ST K1 , K1 ST K 2

(ST K1)+ C1 + C2 (ST K2)+ = ( ST K 2 ) + C 2 C1 , K 2 ST K1

(ST K1)+ (ST K2)+ = ( ST K 2 ), K 2 ST K1

long call (3)

2 short call (2)

() Strip and Strap. strip strap

Boutsikas M.V. (2005-7),

() Strangles. strangle straddle.

forward) (long call) ; ()

11. bull spread bear spread

Boutsikas M.V. (2005-7),

: P r (, , ). P(t) t (P(0) = P).

P(t + t ) P(t ) + P(t )rt

P (t + dt ) = P (t ) + P(t )rdt dP (t ) = P (t )rdt

, P(t + t ) = P(t ) + P(t )rt + o(t ) (t) (t)/t 0.

Boutsikas M.V. (2005-7),

(ln P(t ))dt = rdt ln P( x) ln P(0) = rx P( x) = P(0)e rx .

P(t + dt ) = P(t ) + P(t )r (t )dt dP(t ) = P(t )r (t )dt ( t),

(ln P(t ))dt = r (t )dt ln P ( x) ln P (0) = r (t )dt P( x) = P (0)e

r ( ) ( ). r (risk-free interest rate)

Boutsikas M.V. (2005-7),

.. P = 100000, r = 4%, n = 1230, t = 1/12, = 476.21.

2.2. Forwards Futures

2.2.1. (delivery price)

Vt = x S(t ) = ( x1 , x 2 ,..., x ) ( S1 (t ), S 2 (t ),...., S (t )) = xi S i (t ) ,

( ). S(t) = (S1(t), S2(t), , S(t))

t < T (ert, St, f (t)) t = T

Boutsikas M.V. (2005-7),

2.3.2. 2.2.2 2.3.1 :

, (.. T) (. replicating hedging portfolio).

0 < a < e r T < b , a < b < e rT

- : (0, 0, 1) ( long call)

Boutsikas M.V. (2005-7),

2.5.1. (risk neutral pricing formula) no-arbitrage ( )

2.6. (call put, - )

2.6.1. call option put option ( ) (put-call parity),

4. long forward 1000 . 50 ( ) 5% (, ).

Boutsikas M.V. (2005-7),

10. 3 ( long forward long call short put )

Boutsikas M.V. (2005-7),

((, )) = ). Lebesgue. Borel

Boutsikas M.V. (2005-7),

Lebesgue Riemann f: (R, B(R), ) (R, B(R)) ( Lebesgue) Lebesgue f ( ) Riemann f, ,

, (+), (-) <

(iv) ( ) 1, 2, .. .. |n| < Y ( ) .. : E|Y | <

3.5. Radon-Nikodym : (-) , ( (, F))

(F(x) = F(x) F(x1))

Boutsikas M.V. (2005-7),

PX << ( ..) ... f =

(*) Fubini ( 1,2 R R).

Boutsikas M.V. (2005-7),

3.7.1. : (, F, P) (R, B(R)) (||) < .

( PX ( A) = 14 I A (0) + 12 I A (1) + 14 I A (2) , B(R) (x) = 1 0 xA

Boutsikas M.V. (2005-7),