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W2088366953 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 the duality principle for options that depend on several assets. The asset price processes are driven by general semimartingales, and the dual measures are constructed via an Esscher transformation. As an application, we can relate swap and quanto options to standard call and put options. Explicit calculations for jump models are also provided." @default.
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W2088366953 date "2009-10-01" @default.
W2088366953 modified "2023-10-02" @default.
W2088366953 title "Esscher transform and the duality principle for multidimensional semimartingales" @default.
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W2088366953 doi "https://doi.org/10.1214/09-aap600" @default.
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