Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Change of Numeraire
Stockholm School of Economics.
2010 (English)In: Encyclopedia of Qunatitative Finance / [ed] Rama Cont, John Wiley & Sons, 2010Chapter in book (Other academic)
Abstract [en]

We give an overview of the change of numeraire technique and in particular the concept of T-forward measure. For a general numeraire, we provide the Radon-Nikodym derivative for the associated measure transformation and derive a general option pricing formula. A pricing formula for an exchange option is given as an example.

Place, publisher, year, edition, pages
John Wiley & Sons, 2010.
Keyword [en]
change of numeraire; Girsanov transformation; exchange option; maximum option; option pricing formula
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-86647DOI: 10.1002/9780470061602.eqf04010ISBN: 9780470057568 (print)ISBN: 0470057564 (print)OAI: oai:DiVA.org:kth-86647DiVA: diva2:500889
Note
QC 20120420Available from: 2012-02-13 Created: 2012-02-13 Last updated: 2012-04-20Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Björk, Tomas
Economics and Business

Search outside of DiVA

GoogleGoogle Scholar

doi
isbn
urn-nbn

Altmetric score

doi
isbn
urn-nbn
Total: 218 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf