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Applications of change of numéraire for option pricing
Thesis (MComm (Mathematics))--University of Stellenbosch, 2007.
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Stellenbosch : University of Stellenbosch
2008
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| _version_ | 1867613976930549760 |
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| access_status_str | Open Access |
| author | Le Roux, Gawie |
| author2 | Kopp, P. E. |
| author_browse | Kopp, P. E. Le Roux, Gawie |
| author_facet | Kopp, P. E. Le Roux, Gawie |
| author_sort | Le Roux, Gawie |
| collection | Thesis |
| dc_rights_str_mv | University of Stellenbosch |
| description | Thesis (MComm (Mathematics))--University of Stellenbosch, 2007. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/1820 |
| institution | Stellenbosch University (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:44:42.460Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2008 |
| publishDateRange | 2008 |
| publishDateSort | 2008 |
| publisher | Stellenbosch : University of Stellenbosch |
| publisherStr | Stellenbosch : University of Stellenbosch |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/1820 Applications of change of numéraire for option pricing Le Roux, Gawie Kopp, P. E. University of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences. Numéraire Dissertations -- Mathematics Theses -- Mathematics Options pricing Arbitrage Semi-martingales Business mathematics Financial instruments -- Prices Options (Finance) -- Prices Thesis (MComm (Mathematics))--University of Stellenbosch, 2007. The word numéraire refers to the unit of measurement used to value a portfolio of assets. The change of numéraire technique involves converting from one measurement to another. The foreign exchange markets are natural settings for interpreting this technique (but are by no means the only examples). This dissertation includes elementary facts about the change of numeraire technique. It also discusses the mathematical soundness of the technique in the abstract setting of Delbaen and Schachermayer’s Mathematics of Arbitrage. The technique is then applied to financial pricing problems. The right choice of numéraire could be an elegant approach to solving a pricing problem or could simplify computation and modelling. 2008-04-08T08:19:58Z 2010-06-01T08:34:09Z 2008-04-08T08:19:58Z 2010-06-01T08:34:09Z 2007-12 Thesis http://hdl.handle.net/10019.1/1820 en University of Stellenbosch 508265 bytes application/pdf application/pdf Stellenbosch : University of Stellenbosch |
| spellingShingle | Numéraire Dissertations -- Mathematics Theses -- Mathematics Options pricing Arbitrage Semi-martingales Business mathematics Financial instruments -- Prices Options (Finance) -- Prices Le Roux, Gawie Applications of change of numéraire for option pricing |
| title | Applications of change of numéraire for option pricing |
| title_full | Applications of change of numéraire for option pricing |
| title_fullStr | Applications of change of numéraire for option pricing |
| title_full_unstemmed | Applications of change of numéraire for option pricing |
| title_short | Applications of change of numéraire for option pricing |
| title_sort | applications of change of numeraire for option pricing |
| topic | Numéraire Dissertations -- Mathematics Theses -- Mathematics Options pricing Arbitrage Semi-martingales Business mathematics Financial instruments -- Prices Options (Finance) -- Prices |
| url | http://hdl.handle.net/10019.1/1820 |
| work_keys_str_mv | AT lerouxgawie applicationsofchangeofnumeraireforoptionpricing |