A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets

DOI10.1007/978-3-540-30788-4_12zbMath1106.60045OpenAlexW1552332683MaRDI QIDQ5493548

Ernesto Mordecki, José Fajardo

Publication date: 23 October 2006

Published in: From Stochastic Calculus to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-30788-4_12

zbMATH Keywords

Lévy processesoptimal stoppingGirsanov's theoremderivative pricingdual market method

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Portfolio theory (91G10)

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