• Applications of change of numéraire for option pricing 

      Le Roux, Gawie (Stellenbosch : University of Stellenbosch, 2007-12)
      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 ...
    • Computing the Greeks using the integration by parts formula for the Skorohod integral 

      Chongo, Ambrose (Stellenbosch : Stellenbosch University, 2008-03)
      The computation of the greeks of an option is an important aspect of financial mathematics. The information gained from knowing the value of a greek of an option can help investors decide whether or not to hold on to or ...