5884数理金融中等essaymedium
Real-World Versus Risk-Neutral Probability On A Tree
题目
On the same binomial tree, an analyst estimates a real-world up probability of 0.65 from historical data, while the risk-neutral up probability is 0.52. Which probability should be used to price a derivative by discounted expectation, and what governs the gap between the two?
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probability_to_use