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Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
SSE/EFI Working Paper Series in Economics and Finance No. 484
Verlag: 
Stockholm School of Economics, The Economic Research Institute (EFI), Stockholm
Zusammenfassung: 
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.
Schlagwörter: 
Numeraire
option
convertible bond
JEL: 
G12
G13
Dokumentart: 
Working Paper

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