Esscher transform and the duality principle for multidimensional semimartingales
By Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev. 2008
75 citations recorded by the source corpus.
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.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/d916f3c50713c10e974429b95a7b16d68ee02281
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In Finance
- Antonis Papapantoleon
- Kathrin Glau
- Ernst Eberlein
- Ole E. Barndorff-Nielsen
- Sebastian Raible
- Rüdiger Kiesel
- N. H. Bingham
- E. A. V. Hammerstein
Citations in the corpus
- Analysis of Fourier Transform Valuation Formulas and Applications (2008, methodology): “derive the valuation formula as a pointwise limit by generalizing the proof of Theorem 3.2 inRaible (2000). This result will be used 8 E. EBERLEIN, K. GLAU, AND A. PAPAPANTOLEON in the companion paperEberlein et al. (2009)for the pricing of one-touch options in Levy models. In this and the following”