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Browsing Recerca: working papers, informes, etc. by Subject "stochastic volatility; margrabe options; change of numeraire; mean-variance hedging; malliavin calculus"

Browsing Recerca: working papers, informes, etc. by Subject "stochastic volatility; margrabe options; change of numeraire; mean-variance hedging; malliavin calculus"

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  • Alòs, Elisa; Rheinländer, Thorsten (2015-03-01)
    A Margrabe or exchange option is an option to exchange one asset for another. In a general stochastic volatility framework, by taking the second asset as a numeraire,we derive pricing as well as approximate pricing formulae ...

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