Applications of change of numéraire for option pricing
Year of publication: |
2007-12
|
---|---|
Authors: | Le Roux, Gawie |
Other Persons: | Kopp, P. E. (contributor) |
Institutions: | University of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences. (contributor) |
Publisher: |
Stellenbosch : University of Stellenbosch |
Subject: | Numéraire | Mathematics | Options pricing | Arbitrage | Semi-martingales | Business mathematics | Financial instruments | Prices | Options (Finance) |
-
An elementary introduction to mathematical finance : options and other topics
Ross, Sheldon M., (2003)
-
A course in financial calculus
Etheridge, Alison, (2002)
-
Semimartingale property and its connections to arbitrage
Samura, Sallieu Kabay, (2013)
- More ...
-
Pricing multi-asset options with levy copulas
Dushimimana, Jean Claude, (2011)
-
Model risk for barrier options when priced under different lévy dynamics
Mbakwe, Chidnima, (2011)
-
Pricing multi-asset options with levy copulas
Dushimimana, Jean Claude, (2011)
- More ...