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- Title
The Duality Principle for Multidimensional Optional Semimartingales.
- Authors
Aminian Shahrokhabadi, Mahdieh; Melnikov, Alexander; Pak, Andrey
- Abstract
In option pricing, we often deal with options whose payoffs depend on multiple factors such as foreign exchange rates, stocks, etc. Usually, this leads to a knowledge of the joint distributions and complicated integration procedures. This paper develops an alternative approach that converts the option pricing problem into a dual one and presents a solution to the problem in the optional semimartingale setting. The paper contains several examples which illustrate its results in terms of the parameters of models and options.
- Subjects
FOREIGN exchange rates; PRICES
- Publication
Journal of Risk & Financial Management, 2024, Vol 17, Issue 2, p43
- ISSN
1911-8066
- Publication type
Article
- DOI
10.3390/jrfm17020043