The use of power numeraires in option pricing

DOI10.1016/J.ORL.2017.01.006zbMath1409.91237OpenAlexW3121862631MaRDI QIDQ1728170

Mark S. Joshi

Publication date: 22 February 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2017.01.006

zbMATH Keywords

change of numeraireHeston modelCOS methodbarrier options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Robust Pricing of European Options with Wavelets and the Characteristic Function
• On the Fourier cosine series expansion method for stochastic control problems
• A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
• Changes of numéraire, changes of probability measure and option pricing
• Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Arbitrage Theory in Continuous Time

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