Applications of change of numéraire for option pricing

Applications of change of numéraire for option pricing

Thesis (MComm (Mathematics))--University of Stellenbosch, 2007. === The word numéraire refers to the unit of measurement used to value a portfolio of assets. The change of numéraire technique involves converting from one measurement to another. The foreign exchange markets are natural settings for...

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Bibliographic Details
Main Author: Le Roux, Gawie
Other Authors: Kopp, P. E.
Format: Others
Language:en
Published: Stellenbosch : University of Stellenbosch 2008
Subjects:
Numéraire
Dissertations > Mathematics
Theses > Mathematics
Options pricing
Arbitrage
Semi-martingales
Business mathematics
Financial instruments > Prices
Options (Finance) > Prices
Online Access:http://hdl.handle.net/10019.1/1820

Internet

http://hdl.handle.net/10019.1/1820

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