英文标题：
《The Use of Numeraires in Multi-dimensional Black-Scholes Partial
Differential Equations》
---
作者：
Hyong-chol O, Yong-hwa Ro and Ning Wan
---
最新提交年份：
2014
---
英文摘要：
The change of numeraire gives very important computational simplification in option pricing. This technique reduces the number of sources of risks that need to be accounted for and so it is useful in pricing complicated derivatives that have several sources of risks. In this article, we considered the underlying mathematical theory of numeraire technique in the viewpoint of PED theory and illustrated it with five concrete pricing problems. In the viewpoint of PED theory, the numeraire technique is a method of reducing the dimension of status spaces where PDE is defined.
---
中文摘要：
数值的变化为期权定价提供了非常重要的计算简化。这项技术减少了需要考虑的风险来源的数量，因此在为具有多个风险来源的复杂衍生品定价时非常有用。在本文中，我们从PED理论的角度考虑了数字技术的基本数学理论，并用五个具体的定价问题对其进行了说明。从PED理论的观点来看，数字技术是一种降低状态空间维数的方法，其中定义了PDE。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics 数学
二级分类：Analysis of PDEs 偏微分方程分析
分类描述：Existence and uniqueness, boundary conditions, linear and non-linear operators, stability, soliton theory, integrable PDE\'s, conservation laws, qualitative dynamics
存在唯一性，边界条件，线性和非线性算子，稳定性，孤子理论，可积偏微分方程，守恒律，定性动力学
--

---
PDF下载：
-->