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Girsanov, Numeraires, and All That

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.

November 2022, Elements in Quantitative Finance, Englisch
Cambridge Academic
978-1-00-933928-5

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