Читать книгу The Volatility Smile - Park Curry David - Страница 14
Chapter 2
The Principle of Replication
Оглавление■ The law of one price: Similar things must have similar prices.
■ Replication: the only reliable way to value a security.
■ A simple up-down model for the risk of stocks, in which expected return μ and volatility σ are all that matter.
■ The law of one price leads to CAPM for stocks.
■ Replicating derivatives via the law of one price.
