来自 大牛David Harper, CFA, FRM, CIPM的回答：
This might be a very basic question but while valuing the forward contract why to use continuous compounding?
- It’s a good question. We don’t *need* to, really. But it is convenient for us, esp. in derivatives pricing, due to its properties; e.g., it is often easier to differentiate with the easy properties of the LN() and EXP() functions. Linda Allen (assigned Quant chapter) alludes to this when she notes continuous returns are “time consistent.” That is, they can be easily added. For example, 2% return in year 1, then 3% in year 2 = 5% over 2 years because EXP(2%)*EXP(3%)=EXP(5%). But, if those were instead annual compound frequency, (1.02)(1.03)>1.05. It goes a little further, as the product of the continuous returns, if normal, is also normal. But it is not the case for non-continous.
That said, for the FRM, we still want to be able to translate from contin