Esscher transform and the duality principle for multidimensional semimartingales

DOI10.1214/09-AAP600zbMath1233.91268arXiv0809.0301OpenAlexW2088366953MaRDI QIDQ983888

Albert N. Shiryaev, Ernst Eberlein, Antonis Papapantoleon

Publication date: 13 July 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.0301

zbMATH Keywords

duality principleEsscher transformmultidimensional semimartingalesoptions on several assetsquanto optionswap option

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

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• PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
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