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| Numeraire-skifte× | Risikoneutral Værdiansættelse× | |
|---|---|---|
| Fagområde | Kvantitativ finans | Kvantitativ finans |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1995 | 1979 |
| Ophavsperson≠ | Hélyette Geman, Nicole El Karoui, Jean-Charles Rochet | John Harrison and David Kreps |
| Type≠ | Measure Theory | Fundamental Principle |
| Oprindelig kilde≠ | Geman, H., El Karoui, N., & Rochet, J. C. (1995). Changes of numeraire, changes of probability measure and option pricing. Journal of Applied Probability, 32(2), 443-458. DOI ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Aliasser | Numeraire Switching, Measure Change | Risk-Neutral Measure, Q-Measure |
| Relaterede≠ | 3 | 4 |
| Resumé≠ | Change of numeraire is a mathematical technique for simplifying option pricing by changing the choice of discount factor (numeraire). By selecting a numeraire aligned with the payoff structure, complex problems become simple. The technique is essential for LIBOR market models and multi-currency derivatives. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
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