방법 비교
선택한 방법을 나란히 검토하세요. 서로 다른 행은 강조 표시됩니다.
| 기준자산 변경× | 무위험 중립 가치 평가× | |
|---|---|---|
| 분야 | 금융공학 | 금융공학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1995 | 1979 |
| 창시자≠ | Hélyette Geman, Nicole El Karoui, Jean-Charles Rochet | John Harrison and David Kreps |
| 유형≠ | Measure Theory | Fundamental Principle |
| 원전≠ | 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 ↗ |
| 별칭 | Numeraire Switching, Measure Change | Risk-Neutral Measure, Q-Measure |
| 관련≠ | 3 | 4 |
| 요약≠ | 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. |
| ScholarGate데이터셋 ↗ |
|
|