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| 数元（Numeraire）的变换× | 无风险中性定价× | |
|---|---|---|
| 领域 | 量化金融 | 量化金融 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1995 | 1979 |
| 提出者≠ | Hélyette Geman, Nicole El Karoui, Jean-Charles Rochet | John Harrison and David Kreps |
| 类型≠ | Measure Theory | Fundamental Principle |
| 开创性文献≠ | 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 ↗ |
| 别名 | Numeraire Switching, Measure Change | Risk-Neutral Measure, Q-Measure |
| 相关≠ | 3 | 4 |
| 摘要≠ | 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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