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On the duality principle in option pricing: semimartingale setting

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Author Info
Ernst Eberlein ()
Antonis Papapantoleon ()
Albert Shiryaev ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-008-0061-0
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 12 (2008)
Issue (Month): 2 (April)
Pages: 265-292
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Handle: RePEc:spr:finsto:v:12:y:2008:i:2:p:265-292

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Related research
Keywords: Duality principle in option pricing; Exponential semimartingale model; Exponential Lévy model; Call-put duality; Exotic options; G13; C02;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. José Fajardo & Ernesto Mordecki, 2006. "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers 2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
    Other versions:
  2. Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, 06. [Downloadable!] (restricted)
  3. Vicky Henderson & Rafal Wojakowski, 2001. "On the Equivalence of Floating and Fixed-Strike Asian Options," OFRC Working Papers Series 2001mf08, Oxford Financial Research Centre. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ernst Eberlein & Antonis Papapantoleon & Albert N. Shiryaev, 2008. "Esscher transform and the duality principle for multidimensional semimartingales," Quantitative Finance Papers 0809.0301, arXiv.org, revised Nov 2009. [Downloadable!]
  2. Ilya Molchanov & Michael Schmutz, 2009. "Semi-static hedging under exchangeability type conditions," Quantitative Finance Papers 0901.4914, arXiv.org, revised Mar 2009. [Downloadable!]
  3. Antonis Papapantoleon, 2008. "An introduction to L\'{e}vy processes with applications in finance," Quantitative Finance Papers 0804.0482, arXiv.org, revised Nov 2008. [Downloadable!]
  4. Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2008. "Analysis of Fourier transform valuation formulas and applications," Quantitative Finance Papers 0809.3405, arXiv.org, revised Sep 2009. [Downloadable!]
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