On the Use of Numeraires in Option pricing
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References listed on IDEAS
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Citations
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Cited by:
- Nikolai Dokuchaev, 2018. "On the implied market price of risk under the stochastic numéraire," Annals of Finance, Springer, vol. 14(2), pages 223-251, May.
- Yoram Landskroner & Alon Raviv, 2008.
"The valuation of inflation‐indexed and FX convertible bonds,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(7), pages 634-655, July.
- Yoram Landskroner & Alon Raviv, 2004. "The Valuation of Inflation-Indexed and FX Convertible Bonds," Finance 0401005, University Library of Munich, Germany.
- Jui‐Jane Chang & Son‐Nan Chen & Ting‐Pin Wu, 2013. "Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(9), pages 827-867, September.
- Hyong-Chol O & Dae-Sung Choe, 2019. "Pricing Formulae of Power Binary and Normal Distribution Standard Options and Applications," Papers 1903.04106, arXiv.org.
- Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.
- Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2020. "An evolutionary finance model with a risk-free asset," Annals of Finance, Springer, vol. 16(4), pages 593-607, December.
- Hyong-chol O & Yong-hwa Ro & Ning Wan, 2013. "The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations," Papers 1310.8296, arXiv.org, revised Jul 2014.
- Hyong-chol O & Yong-hwa Ro & Ning Wan, 2014. "A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations," Papers 1406.2053, arXiv.org.
- Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
- Carr, Peter & Wu, Liuren, 2004.
"Time-changed Levy processes and option pricing,"
Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
- Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, University Library of Munich, Germany.
- Nikolai Dokuchaev, 2011. "On martingale measures and pricing for continuous bond-stock market with stochastic bond," Papers 1108.0719, arXiv.org, revised Sep 2014.
- Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, University Library of Munich, Germany.
- Markus Leippold & Zvi Wiener, 2005. "Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models," Review of Derivatives Research, Springer, vol. 7(3), pages 213-239, October.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, Decembrie.
- Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
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More about this item
Keywords
Numeraire; option; convertible bond;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IFN-2002-01-22 (International Finance)
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