Esscher transform and the duality principle for multidimensional semimartingales
Work
Year: 2009
Type: article
Abstract: The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem. Here, we analyze t... more
Institutions Steklov Mathematical Institute, University of Freiburg
Cites: 21
Cited by: 41
Related to: 10
FWCI: 3.169
Citation percentile (by year/subfield): 94.43
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze