Numeraire Invariance and application to Option Pricing and Hedging

This is a short version of the paper of Exchange Options (2007), concentrating on the principle of numeraire invariance. It emphasizes application to unique pricing in arbitrage-free model, the derivation of hedge ratios and the PDE when price ratios are diffusions, explicit representations in the multivariate Poisson model, and the role played by homogeneity.

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Year of publication:	2008-02-14
Authors:	Jamshidian, Farshid
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Numeraire invariance \| hedging \| self-financing trading strategy \| predictable representation \| unique pricing \| arbitrage-free \| martingale \| homogeneous payoff \| Markovian \| It\^o's formula \| SDE \| PDE \| geometric Brownian motion \| exponential Poisson process

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005787005