Option pricing formulas under a change of numèraire
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Publication:3298110
DOI10.7494/OpMath.2020.40.4.451zbMath1444.91205MaRDI QIDQ3298110
Michele Bufalo, Antonio Attalienti
Publication date: 21 July 2020
Published in: Opuscula Mathematica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.7494/opmath.2020.40.4.451
91G20: Derivative securities (option pricing, hedging, etc.)
60G46: Martingales and classical analysis
Related Items
Cites Work
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- The Pricing of Options and Corporate Liabilities
- Martingale methods in financial modelling.
- Stochastic calculus for finance. I: The binomial asset pricing model.
- Stochastic calculus for finance. II: Continuous-time models.
- Changes of numéraire, changes of probability measure and option pricing