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Girsanov, Numeraires, and All That - Hagan, Patrick S. (Gorilla Science); Lesniewski, Andrew (Bernard M. Baruch College, City University of Ne
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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.

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Produktbeschreibung
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.