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  • Search: subject:"Change of numeraire"
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Year of publication
Subject
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change of numeraire 11 Option pricing theory 6 Optionspreistheorie 6 Change of numeraire 5 Change of numéraire 5 Option trading 5 Optionsgeschäft 5 Theorie 4 Theory 4 Hedging 3 Heston model 3 Stochastic process 3 Stochastischer Prozess 3 Arbeitskampf 2 Asia 2 Asian options 2 Asien 2 Foreign exchange 2 Fourier transform 2 Föllmer measure 2 Hyperinflation 2 Industrial action 2 Martingal 2 Martingale 2 Power option 2 Pricing operator 2 Put-call parity 2 Risiko 2 Risk 2 Stochastic volatility 2 Strict local martingales 2 convexity 2 exchange rate risk 2 floating strike Asian options 2 interest rate options 2 interest rate risk 2 put call symmetry 2 quanto adjustment 2 Anleihe 1 Antithetic Technique 1
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Online availability
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Undetermined 13 Free 7
Type of publication
All
Article 17 Book / Working Paper 7
Type of publication (narrower categories)
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Article in journal 7 Aufsatz in Zeitschrift 7 Working Paper 4 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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English 13 Undetermined 11
Author
All
Boenkost, Wolfram 2 Carr, Peter 2 Fisher, Travis 2 Henderson, Vicky 2 Kim, Bara 2 Kim, Jerim 2 Ruf, Johannes 2 Schmidt, Wolfgang M. 2 Back, Kerry 1 Becherer, Dirk 1 Campi, Luciano 1 Cui, Zhenyu 1 Di Persio, Luca 1 Falafala, Roseline Bilina 1 Frey, Rudiger 1 Gnoatto, Alessandro 1 Hansen, Asbjørn T. 1 Hobson, David G. 1 Huang, Yiming 1 Jarrow, Robert A. 1 Joshi, Mark 1 Jørgensen, Peter Løchte 1 Laachir, Ismail 1 Lucic, V. 1 Mamon, Rogemar 1 Manuel, Luis 1 Martini, Claude 1 Mcleish, Don 1 Moon, Kyoung-Sook 1 Moon, Kyoung-sook 1 Muñoz, García 1 Parpas, Panos 1 Patacca, Marco 1 Protter, Philip E. 1 Rady, Sven 1 Rustem, Berc 1 SANDMANN, KLAUS 1 Sepp, A. 1 Shaw, William 1 Sommer, Daniel 1
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Institution
All
COMISEF 1 Frankfurt School of Finance and Management 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Finance and Stochastics 3 Applied Mathematical Finance 2 Finance and stochastics 2 Mathematical finance 2 Annals of finance 1 Annual Review of Financial Economics 1 Arbeitsberichte der Hochschule für Bankwirtschaft 1 Frankfurt School - Working Paper Series 1 Insurance / Mathematics & economics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 Journal of Economic Dynamics and Control 1 Journal of economic dynamics & control 1 MPRA Paper 1 Management Science 1 Mathematics and Computers in Simulation (MATCOM) 1 Operations research letters 1 Quantitative finance 1 Working Papers / COMISEF 1 Working paper series 1
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Source
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RePEc 13 ECONIS (ZBW) 10 EconStor 1
Showing 1 - 10 of 24
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Valuation and hedging of cryptocurrency inverse options
Lucic, V.; Sepp, A. - In: Quantitative finance 24 (2024) 7, pp. 851-869
Persistent link: https://www.econbiz.de/10015050801
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A change of measure formula for recursive conditional expectations
Di Persio, Luca; Gnoatto, Alessandro; Patacca, Marco - 2021
Persistent link: https://www.econbiz.de/10013347592
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Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
Huang, Yiming; Mamon, Rogemar; Xiong, Heng - In: Insurance / Mathematics & economics 103 (2022), pp. 1-26
Persistent link: https://www.econbiz.de/10013198316
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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
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The use of power numeraires in option pricing
Joshi, Mark - In: Operations research letters 45 (2017) 2, pp. 133-138
Persistent link: https://www.econbiz.de/10011687633
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Change of numeraire in the two-marginals martingale transport problem
Campi, Luciano; Laachir, Ismail; Martini, Claude - In: Finance and stochastics 21 (2017) 2, pp. 471-486
Persistent link: https://www.econbiz.de/10011944399
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Relative asset price bubbles
Falafala, Roseline Bilina; Jarrow, Robert A.; Protter, … - In: Annals of finance 12 (2016) 2, pp. 135-160
Persistent link: https://www.econbiz.de/10011555672
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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
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On the hedging of options on exploding exchange rates
Carr, Peter; Fisher, Travis; Ruf, Johannes - In: Finance and Stochastics 18 (2014) 1, pp. 115-144
underlying follows strict local martingale dynamics. More precisely, we discuss a change of numéraire (change of currency …
Persistent link: https://www.econbiz.de/10010997045
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On the hedging of options on exploding exchange rates
Carr, Peter; Fisher, Travis; Ruf, Johannes - In: Finance and stochastics 18 (2014) 1, pp. 115-144
Persistent link: https://www.econbiz.de/10010235456
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