Girsanov, Numeraires, and All That

Autor*innen

• Patrick S Hagan
• Andrew Lesniewski

Parameter

• 52 Seiten
• 2 Lesestunden

• Handel
• Lehrbücher
• Sachbücher
• Universitätslehrbücher
• Wirtschaft & Management

Mehr zum Buch

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.

• Sprache: Englisch
• Erscheinungsdatum: 2022
• Einband: Paperback