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The technique of measure and numeraire changes in option

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.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0710112-155020
Date10 July 2012
CreatorsShi, Chung-Ru
ContributorsNgai-Ching Wong, Jen-Chih Yao, Hong-Kun Xu, Lai-Jiu Lin
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0710112-155020
Rightsunrestricted, Copyright information available at source archive

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