Esscher transform and the duality principle for multidimensional semimartingales
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Publication:983888
DOI10.1214/09-AAP600zbMath1233.91268arXiv0809.0301MaRDI QIDQ983888
Antonis Papapantoleon, Albert N. Shiryaev, Ernst Eberlein
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
duality principle; Esscher transform; multidimensional semimartingales; options on several assets; quanto option; swap option
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