Search Results - subject:"Change of numeraire"

A change of measure formula for recursive conditional expectations

Di Persio, Luca; Gnoatto, Alessandro; Patacca, Marco - 2021

Persistent link: https://www.econbiz.de/10013347592

Collateral choice and the fundamental theorem of asset pricing

Manuel, Luis; Muñoz, García - Volkswirtschaftliche Fakultät, … - 2012

form of assets (bonds, shares,...). In this paper we explore how the fundamental valuation theorem and the change of … numeraire tollkit is reformulated under this new framework. …

Persistent link: https://www.econbiz.de/10011109288

Bounding Option Prices Using SDP With Change Of Numeraire

Ye, Kai; Parpas, Panos; Rustem, Berc - COMISEF - 2009

. We propose to employ the technique of change of numeraire when using SDP to bound the European type of options. In fact …

Persistent link: https://www.econbiz.de/10008491704

Notes on convexity and quanto adjustments for interest rates and related options

Boenkost, Wolfram; Schmidt, Wolfgang M. - 2003

We collect simple and pragmatic exact formulae for the convexity adjustment of irregular interest rate cash flows as Libor-in-arrears or payments of a swap rate (CMS rate) at an irregular date. The results are compared with the results of an approximative approach available in the popular...

Persistent link: https://www.econbiz.de/10010298886

Notes on convexity and quanto adjustments for interest rates and related options

Boenkost, Wolfram; Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2003

Persistent link: https://www.econbiz.de/10005026990

Bounds for floating-strike Asian options using symmetry

Henderson, Vicky; Hobson, David G.; Shaw, William; … - 2003

Persistent link: https://www.econbiz.de/10009581655

On the equivalence of floating and fixed-strike Asian options

Henderson, Vicky; Wojakowski, Rafa L. - 2001

Persistent link: https://www.econbiz.de/10009581665