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- W2551368561 abstract "Generally speaking the duality principle states that the calculation of the price of a call option in a model with price process St = e Ht (w.r.t. the measure P) is equivalent to the calculation of the price of a put option in a dual model S 0 = e H 0 t (w.r.t. a dual measure P 0 ). We develop the mathematical tools for the study of the duality principle in option pricing in a general semimartingale setting. A number of more sophisticated duality results are derived for a broad spectrum of exotic options. It is for these options where the duality principle demonstrates its full strength. In many cases it allows to reduce a problem involving joint distributions to a univariate problem. Particular cases which are" @default.
- W2551368561 created "2016-11-30" @default.
- W2551368561 creator A5012404709 @default.
- W2551368561 date "2006-01-01" @default.
- W2551368561 modified "2023-09-27" @default.
- W2551368561 title "Duality and valuation of derivatives in a semimartingale setting" @default.
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- W2551368561 hasPublicationYear "2006" @default.
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