EconStor >
Stockholm School of Economics >
EFI - The Economic Research Institute, Stockholm School of Economics >
SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/56138
  
Title:On the use of numeraires in option pricing PDF Logo
Authors:Benninga, Simon
Björk, Tomas
Werner, Zvi
Issue Date:2001
Series/Report no.:SSE/EFI Working Paper Series in Economics and Finance 484
Abstract:In this paper we discuss the significant computational simplification that occurs when option pricing is approached through the change of numeraire technique. The original impetus was a recently published paper (Hoang, Powell, Shi 1999) on endowment options; in the present paper we extend these results to the case of stochastic interest rates. We also discuss four additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a choice of linkage. 2. Pricing convertible bonds. 3. Pricing employee stock ownership plans 4. Pricing options where the strike price is in a currency different from the stock price.
Subjects:Numeraire
option
convertible bond
JEL:G12
G13
Document Type:Working Paper
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

Files in This Item:
File Description SizeFormat
341474509.pdf190.74 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/56138

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.