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In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis for building option valuation models.
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Girsanov, Numeraires, and All That, Patrick S Hagan, Andrew Lesniewski
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- Released
- 2022
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- (Paperback)
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