悬赏 20 个论坛币 未解决
看一篇期货方面的论文,其中的一个词意思不确定,问标红部分究竟是什么价格?
1.The economic interpretation of this representation is that if we let a be the current forward price of the first and b that of the second asset, we have a static hedge with bonds, forwards, and again options in a continuum of strikes, namely vanilla and traffic light options. However, the hedging formula simplifies considerably for a,b=0
(这篇论文是讲期权复制的,但是它是二维的;在我们常见的一维的复制公式里,这个价格好像是标的资产价格的期望。)