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Option pricing formulas under a change of numèraire - MaRDI portal

Option pricing formulas under a change of numèraire (Q3298110)

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Option pricing formulas under a change of numèraire
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    Statements

    title
    Option pricing formulas under a change of numèraire (English)
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    author
    Antonio Attalienti
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    Michele Bufalo
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    publication date
    21 July 2020
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    zbMATH Keywords
    Black-Scholes formula
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    binomial model
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    martingale measures
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    numèraire
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    Identifiers

    zbMATH DE Number
    7223570
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    OpenAlex ID
    W3041865950
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