Stochastic finance a numeraire approach
Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for...
| Other Authors: | |
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| Format: | eBook |
| Language: | Inglés |
| Published: |
Boca Raton, FL :
CRC Press, an imprint of Taylor and Francis
2011.
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| Edition: | First edition |
| Series: | Chapman & Hall/CRC financial mathematics series.
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| Subjects: | |
| See on Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009644313306719 |
| Summary: | Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for complex products, such as barrier, lookback, quanto, and Asian options. Most of the ideas presented rely on intuition and basic principles, rather than technical computations. |
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| Item Description: | Description based upon print version of record. |
| Physical Description: | 1 online resource (339 p.) |
| Bibliography: | Includes bibliographical references. |
| ISBN: | 9781040056332 9780429092404 9781439812501 |
