In other words, BS equation does not involve the expected return

来源: marketreflections 于 2010-10-30 06:29:15 [] [博客] [旧帖] [给我悄悄话] 阅读数 : (578 bytes)

One of the most remarkable properties of the Black-Scholes equation is that all of the
variables that do appear in the equation are independent of risk preferences. In other words, the
equation does not involve the expected return, μ , on the stock.7 Once we assume this fact, we
can use risk-neutral pricing to derive the Black-Scholes equation with just a simple argument as
follows:
In a world where investors are risk-neutral, the expected return on all investment assets
is the risk-free rate of interest, r. Let Q be the risk-neutral probability measure

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