Girsanov, Numeraires, and All That

In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis for building option valuation models.

• | : Patrick S. Hagan, Andew Lesniewski (Bernard M. Baruch College, City University of New York)
• | Publisher: Cambridge University Press
• | Publication Date: Nov 17, 2022
• | Country of Publication: United Kingdom
• | Number of Pages: 75 pages
• | Language: Unknown
• | Binding: Paperback / softback
• | ISBN-10: 1009339281
• | ISBN-13: 9781009339285