Girsanov, Numeraires, and All That (häftad, eng)

In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis for building option valuation models.

Format	Häftad
Omfång	75 sidor
Språk	Engelska
Förlag	Cambridge University Press
Utgivningsdatum	2022-11-17
ISBN	9781009339285