On the duality principle in option pricing: semimartingale setting

DOI10.1007/s00780-008-0061-0zbMath1150.91016OpenAlexW2067877330MaRDI QIDQ928504

Antonis Papapantoleon, Ernst Eberlein, Albert N. Shiryaev

Publication date: 18 June 2008

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-008-0061-0

zbMATH Keywords

exotic optionscall-put dualityduality principle in option pricingexponential Lévy modelexponential semimartingale model

Mathematics Subject Classification ID

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

Related Items (21)

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