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4#
发表于 2011-7-13 16:23
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| This is the risk-neutral probability from the binomial model of a European option. Option prices are determined by arbitrage considerations, not by their expected payoffs (similar to forwards and futures in that way). If, despite this, you decide to beat on the algebraic expression for the value of the option so that it *looks like* an expected payoff, your formula is what appears in place of p (the probability of an up move in the underlying). Don't sweat trying to get an intuition for it. |
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