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Answers for “在这个二项式示例中如何计算风险中性概率?”

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The risk-neutral probability pp of the up move is computed using the formula p=(1+r)−du−dp = \frac{(1+r)-d}{u-d}. Given r=0.1r = 0.1, u=1.2u = 1.2, and d=0.9d = 0.9, the calculation is p=1.1−0.91.2−0.9=0.20.3=23p = \frac{1.1 - 0.9}{1.2 - 0.9} = \frac{0.2}{0.3} = \frac{2}{3}.

Conditions: One-period binomial model with up factor uu, down factor dd, and interest rate rr.; u>1+r>du > 1+r > d to ensure 0<p<10 < p < 1.

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Risk-neutral probabilities are defined as the specific set of probabilities chosen precisely to make the discounted price process of any asset a martingale. They are not derived from historical data or investor beliefs, but from the mathematical requirement that discounted prices behave like fair games.

Conditions: Operating within a risk-neutral valuation framework.; Prices are discounted at the risk-free rate.