Applications of change of numéraire for option pricing

SUNScholar Research Repository

Show simple item record

dc.contributor.advisor Kopp, P. E.
dc.contributor.author Le Roux, Gawie
dc.contributor.other University of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences.
dc.date.accessioned 2008-04-08T08:19:58Z en_ZA
dc.date.accessioned 2010-06-01T08:34:09Z
dc.date.available 2008-04-08T08:19:58Z en_ZA
dc.date.available 2010-06-01T08:34:09Z
dc.date.issued 2007-12
dc.identifier.uri http://hdl.handle.net/10019.1/1820
dc.description Thesis (MComm (Mathematics))--University of Stellenbosch, 2007.
dc.description.abstract The word numéraire refers to the unit of measurement used to value a portfolio of assets. The change of numéraire technique involves converting from one measurement to another. The foreign exchange markets are natural settings for interpreting this technique (but are by no means the only examples). This dissertation includes elementary facts about the change of numeraire technique. It also discusses the mathematical soundness of the technique in the abstract setting of Delbaen and Schachermayer’s Mathematics of Arbitrage. The technique is then applied to financial pricing problems. The right choice of numéraire could be an elegant approach to solving a pricing problem or could simplify computation and modelling. en
dc.format.extent 508265 bytes en_ZA
dc.format.mimetype application/pdf en_ZA
dc.language.iso en
dc.publisher Stellenbosch : University of Stellenbosch
dc.subject Numéraire en
dc.subject Dissertations -- Mathematics en
dc.subject Theses -- Mathematics en
dc.subject Options pricing en
dc.subject Arbitrage en
dc.subject Semi-martingales en
dc.subject Business mathematics en
dc.subject Financial instruments -- Prices en
dc.subject Options (Finance) -- Prices en
dc.title Applications of change of numéraire for option pricing en
dc.type Thesis
dc.rights.holder University of Stellenbosch


Files in this item

This item appears in the following Collection(s)

Show simple item record