Numeraire Invariance and application to Option Pricing and Hedging
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References listed on IDEAS
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
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- Nicolas Privault & Timothy Robin Teng, 2013. "Hedging in bond markets by the Clark-Ocone formula," Papers 1304.6165, arXiv.org.
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KeywordsNumeraire invariance; hedging; self-financing trading strategy; predictable representation; unique pricing; arbitrage-free; martingale; homogeneous payoff; Markovian; It^o's formula; SDE; PDE; geometric Brownian motion; exponential Poisson process;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-23 (All new papers)
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