Esscher transform and the duality principle for multidimensional semimartingales

DOI10.1214/09-AAP600zbMath1233.91268arXiv0809.0301MaRDI 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 principle; Esscher transform; multidimensional semimartingales; options on several assets; quanto option; swap option

Mathematics Subject Classification ID

60G48: Generalizations of martingales

91G20: Derivative securities (option pricing, hedging, etc.)

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