numeraire

The Valuation of Options for Jump Processes and the Choice of Numeraire

跳过程下期权定价与记帐单位选择

Prices are subject to alteration with or without notice . The Pricing of Convertible Bond with Change of Numeraire ;

不管是否事先通知，价格可随时变动。

The Relation of Arbitrage and Numeraire

套利与记账单位的关系

Thirdly , we discuss the pricing method of Asian option in the model , removing the path dependency by a portfolio and using the changes of numeraire techniques .

通过构造复制策略将路径依赖期权转化为非路径依赖期权的求解问题，并结合记帐单位的选择，得到算术亚式期权定价的方法。

Macro-implications of the Choice of Numeraire ;

选择基准价格单位的宏观含义；

Finally , to the particularity of the B - S model , any positive self-financing wealth process with initial value 1 is taken as the numeraire , then the conclusions in finance theory we cared about are received .

最后，针对B-S模型的特殊性，我们将以任意初始值为1的自筹资策略作为记账单位，得到金融理论中所关心的结论。

At first , we assume the interest rate follows a random interest rate model , and then derived the price of this product through change of numeraire and risk-neutral model . After we get the value expression of this product , we carry on the empirical study .

在假定利率随机的情况下，通过计价变换与风险中性定价方法对该种产品的定价进行了理论上的推导，并得到了这种产品真实价值的表达式。

[ WT5 " BZ ] In this paper , by using change of numeraire and equivalence Martingales measure , we have derived the formula for exchange option in case of stochastic volatilities . [ WT5 " HZ ]

通过利用计价单位的变换及等价鞅测度，得到了在随机波动率下的交换期权定价公式。