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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Showing 1 to 2 of 2 (0.043 seconds)

Spelling suggestions: "subject:"change off numeraire"" "subject:"change off numéraire""

1

Derivation of Black-Scholes formula

Tseng, Cho-Ming 07 December 2009 (has links)
The Black-Scholes European option pricing formula can be derived in several ways. In this dissertation we present several methods that can be used to derive this formula, including partial differential equation method, the risk-neutral pricing method, the martingale measure method, and the change of numeraire technique
risk-neutral valuation
Ito¡¦s formula
change of numeraire
2

Analytic Approaches to the Pricing Black-Scholes Equations of Asian Options

Yu, Wei-Hau 05 July 2012 (has links)
Asian option is an option which payoff depends on the average underlying price over some some specific time period. Although there is no closed form solution of asian option, appropriate change of variable and Num¡¦eraire would reduce some terms of equation satisfies the Asian call price function. This thesis presents asian option¡¦s properties and process of reduction terms.
Black-Scholes equation
change of Numeraire
risk neutral
Asian option
Markov property

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