Applications of change of numéraire for option pricing

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dc.contributor.advisorKopp, P. E.
dc.contributor.authorLe Roux, Gawie
dc.contributor.otherUniversity of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences.
dc.date.accessioned2008-04-08T08:19:58Zen_ZA
dc.date.accessioned2010-06-01T08:34:09Z
dc.date.available2008-04-08T08:19:58Zen_ZA
dc.date.available2010-06-01T08:34:09Z
dc.date.issued2007-12
dc.descriptionThesis (MComm (Mathematics))--University of Stellenbosch, 2007.
dc.description.abstractThe 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.extent508265 bytesen_ZA
dc.format.mimetypeapplication/pdfen_ZA
dc.identifier.urihttp://hdl.handle.net/10019.1/1820
dc.language.isoen
dc.publisherStellenbosch : University of Stellenbosch
dc.rights.holderUniversity of Stellenbosch
dc.subjectNuméraireen
dc.subjectDissertations -- Mathematicsen
dc.subjectTheses -- Mathematicsen
dc.subjectOptions pricingen
dc.subjectArbitrageen
dc.subjectSemi-martingalesen
dc.subjectBusiness mathematicsen
dc.subjectFinancial instruments -- Pricesen
dc.subjectOptions (Finance) -- Pricesen
dc.titleApplications of change of numéraire for option pricingen
dc.typeThesis
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