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Geman, H., El Karoui, N. and Rochet, J.C. (1995) Changes of Numeraire, Changes of Probability Measures and Pricing of Options. Journal of Applied Probability, 32, 443-458.
https://doi.org/10.1017/S002190020010289X

has been cited by the following article:

• TITLE: The Call Option Pricing Based on Investment Strategy with Stochastic Interest Rate

  AUTHORS: Xin Zhang, Huisheng Shu, Xiu Kan, Yingyi Fang, Zhiwei Zheng

  KEYWORDS: Europe Call Option, Investment Strategy, Stochastic Interest Rate, Vasicek Model, Numeraire and Measures, T-Forward Measure

  JOURNAL NAME: Journal of Mathematical Finance, Vol.8 No.1, January 29, 2018

  ABSTRACT: In this paper, the call option price is evaluated based on linear investment strategy in order to hedge the risk actively in stock market with stochastic interest rate. The Vasicek model is used to describe the structure of interest rates. The mathematical characterization is discussed for the unique no-arbitrage price associated with any attainable contingent claim. The appropriate numeraire (zero-coupon bond) and measures (T-forward measure) are chosen to simplify the calculations. Based on the designed linear investment strategy with stochastic interest rate, a novel option price approach is obtained under the T-forward measure.