Applications of change of numéraire for option pricing

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dc.contributor.advisor Kopp, P. E. Le Roux, Gawie
dc.contributor.other University of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences. 2008-04-08T08:19:58Z en_ZA 2010-06-01T08:34:09Z 2008-04-08T08:19:58Z en_ZA 2010-06-01T08:34:09Z 2007-12
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
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