Girsanov, numeraires, and all that
Auteur :
Hagan, Patrick S. / Lesniewski, Andrew
Éditeur :
Cambridge University Press
ISBN :
9781009339285
Date de publication :
17 nov. 2022
Dimensions :
22,8 x 15,1 x 0,4 cm
Poids :
90 g
Format :
Trade paperback (US)
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.