The Duality Principle for Multidimensional Optional Semimartingales
Author:
Affiliation:
1. Mathematics and Statistical Sciences Department, Faculty of Science, University of Alberta, Central Academic Building, Edmonton, AB T6G 2G1, Canada
2. SS&C Technologies, Toronto, ON M5V 3K2, Canada
Abstract
Funder
NSERC Discovery
Publisher
MDPI AG
Subject
Finance,Economics and Econometrics,Accounting,Business, Management and Accounting (miscellaneous)
Link
https://www.mdpi.com/1911-8074/17/2/43/pdf
Reference17 articles.
1. Abdelghani, Mohamed, and Melnikov, Alexander (2020). Optional Processes, Chapman & Hall/CRC.
2. Duality theory for portfolio optimisation under transaction costs;Czichowsky;The Annals of Applied Probability,2016
3. Eberlein, Ernst, and Papapantoleon, Antonis (2005). Exotic Option Pricing and Advanced Lévy Models, John Wiley & Sons, Inc.
4. Esscher transform and the duality principle for multidimensional semimartingales;Eberlein;The Annals of Applied Probability,2009
5. Pricing Derivatives on Two-Dimensional Lévy Processes;Fajardo;International Journal of Theoretical and Applied Finance (IJTAF),2006
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