Numeraire Invariance and application to Option Pricing and Hedging
Year of publication: |
2008-02-14
|
---|---|
Authors: | Jamshidian, Farshid |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Numeraire invariance | hedging | self-financing trading strategy | predictable representation | unique pricing | arbitrage-free | martingale | homogeneous payoff | Markovian | It\^o's formula | SDE | PDE | geometric Brownian motion | exponential Poisson process |
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