meimei
2019-04-25 18:34reading 40 case2.question1. 不是資產(chǎn)的價(jià)格服從lognormal distriution 么？return 是nomal distribution?
所屬：CFA Level II > Derivatives 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Paroxi助教
2019-04-26 09:38
該回答已被題主采納
同學(xué)你好，舊教材中假設(shè)資產(chǎn)價(jià)格服從對數(shù)正態(tài)分布，收益率服從正態(tài)分布，新的教材改版之后對于收益率進(jìn)行了重新的定義，將P1/P2定義為收益率，因?yàn)檫B續(xù)收益率LN（P1/P2）服從正太分布，那么P1/P2收益率只能服從對數(shù)正太分布。原文為The underlying follows a statistical process called geometric Brownian motion,which implies a lognormal distribution of the return, meaning that the logarithmicreturn, which is the continuously compounded return, is normallydistributed.
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