R. Bilina Falafala, R. Jarrow, and P. Protter. Change of numeraires and relative asset price bubbles. Preprint, Available at SSRN: http://ssrn.com/abstract=2265465 or http://dx.doi.org/10.2139/ssrn.2265465, 2014.R. B. Falafala, R. Jarrow & P. Protter (2014) Change of Num´e...
Continuous-Time, Instantaneous-Forwards HJM FrameworkBGM Resultdoi:10.1002/9781118267967.app3Amir SadrJohn Wiley & Sons, Ltd
of numeraire changes to evaluate convertible bonds when the value of firm,and those of zero-coupon bonds follow general adapted stochastic processes in this paper,using Ito theorem and Gisanov theorem.A closed-form solution is derived under the stochastic volatility by using fast Fourier transforms....
NumerairesMeasuresChange of MeasureGirsanov TheoremAn option is a financial instrument that allows the holder to buy or sell an underlying security in the future at an agreed strike or price set today. EuropeanBurgess, NicholasSocial Science Electronic Publishing...