Stochastic finance : a numeraire approach /
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| Format: | eBook |
| Language: | English |
| Published: |
Boca Raton, FL :
CRC Press,
©2011.
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| Series: | Chapman & Hall/CRC financial mathematics series.
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| Online Access: | Connect to the full text of this electronic book |
| Abstract: | 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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| Physical Description: | 1 online resource (xv, 322 pages) : illustrations. |
| Bibliography: | Includes bibliographical references (pages 313-322) and index. |
| ISBN: | 1439812500 9781439812501 9781439812525 1439812527 |