原创力文档- 1、本文档共167页，可阅读全部内容。
- 2、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。
- 3、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
查看更多
Stochastic
Calculus
Solution
for Finance, Volume I and II
of Exercise Problems
Yan Zeng
August 20,2007
1
Contents
1 Stochastic Calculus for Finance I: The Binomial Asset Pricing Model 3
1.1 The Binomial No-Arbitrage Pricing Model 3
1.2 Probability Theory on Coin Toss Space 6
1.3 State Prices
1.4 American Derivative Securities 13
1.5 Random Walk 16
1.6 Interest-Rate-Dependent Assets 9
2 Stochastic Calculus for Finance Ⅱ: Continuous-Time Models 23
2.1 General Probability Theory 3
2.2 Information and Conditioning 7
2.3 Brownian Motion 1
2.4 Stochastic Calculus 34
2.5 Risk.Neutral Pricing
2.6 Connections with Partial Diferentiai Equations 创力文档
2.7 Exotic Options axb118.cm
2.8 American Derivative Securities 高清无水
2.9 Change of Numeraire 1
2.10 Term-Structure Models 6
2.11 Introduction to Jump Processes 83
2
This is a solution manual for the two-volume textbook Stochastic calculus for finance, by Steven Shreve. If you have any comments or find any typos/errors, please email me at yz44@.
The current version omits the following problems. Volume I: 1.5,3.3,3.4,5.7;Volume Ⅱ: 3.9,7. 1,7.2, 7.5-7.9,10.8,10.9,10.10.
Acknowledgment I thank Hua Li (a graduate student at Brown University) for reading through this solution mannal and communicating to me several mistakes/typos. I also thank Hideki Murakami for pointing out a typo in Exercise 4.3,Volume Ⅱ.
3
Chapter 1
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model
1.1 The Binomial No-Arbitrage Pricing Model
1.1.
Proof. If we get the up sate,then X?=X?(H)= △quS?+(1+r)(Xo-A?So);if we get the down state, then X?=X?(T)=AodS?+(1+r)(Xo-A?So).If X? has a positive probability of being strictly positive, then we must either have X?(H)>0 or X(T)>0.
(i) If Xi(H)>0,then △ouS?+(1+r)(Xo- △oSo)>0.Plug in Xo=0,we get u △o>(1+r)
文档评论（0）