Pricing and Hedging of Forwards, Futures and Swaps by Change of Numéraire
نویسنده
چکیده
We derive prices and hedging strategies for some contingent claims which were treated by Jamshidian [12]. For this we discuss price functionals and the technique of “change of numéraire” in a general semimartingale framework. These tools allow us to develop a unified method based on the explicit computation of the price processes via the multiplicative Doob-Meyer decomposition and the assumption that certain (co-)variation processes have a deterministic terminal value.
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