assume ds=msdt+xsdw where w is the wiener process.

送交者: 短江学者于 2007-12-12, 07:31:43:

回答: 短江你搞什么玄虚?能预测股价的三次方不就等于能预测股价了吗? 由找老婆专用ID 于 2007-12-12, 06:22:17:

let y=s^3,according to Ito we have

dy=3s^2(msdt+xsdw)+(1/2)6sxxssdt

the last term (Ito term) is a deterministic term and thus predictable. But if you convert it back to s using Ito's rule you would get the original ds=msdt+xsdw back and gain nothing. Thus you can win if you trade sss but not s against a person who does not know Ito's rule.

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