A num¡¦eraire is the unit of account in which other assets are denominated.
One usually takes the num¡¦eraire to be the currency of a country.
In some applications one must change the num¡¦eraire due to the finance considerations.
And sometimes it is convenient to change the num¡¦eraire because
of modeling considerations. A model can be complicated or simple, depending
on the choice of thenum¡¦eraire for the method.
When change the num¡¦eraire, denominating the asset in some other unit of account,
it is no longer a martingale under ˜P . When we change the num¡¦eraire,
we need to also change the risk-neutral measure in order to maintain risk
neutrality.
The details and some applications of this idea developed in this thesis.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0710112-155020 |
| Date | 10 July 2012 |
| Creators | Shi, Chung-Ru |
| Contributors | Ngai-Ching Wong, Jen-Chih Yao, Hong-Kun Xu, Lai-Jiu Lin |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0710112-155020 |
| Rights | unrestricted, Copyright information available at source archive |
Page generated in 0.0017 seconds