Aminian Shahrokhabadi, M.; Melnikov, A.; Pak, A. The Duality Principle for Multidimensional Optional Semimartingales. J. Risk Financial Manag.2024, 17, 43.
Aminian Shahrokhabadi, M.; Melnikov, A.; Pak, A. The Duality Principle for Multidimensional Optional Semimartingales. J. Risk Financial Manag. 2024, 17, 43.
Aminian Shahrokhabadi, M.; Melnikov, A.; Pak, A. The Duality Principle for Multidimensional Optional Semimartingales. J. Risk Financial Manag.2024, 17, 43.
Aminian Shahrokhabadi, M.; Melnikov, A.; Pak, A. The Duality Principle for Multidimensional Optional Semimartingales. J. Risk Financial Manag. 2024, 17, 43.
Abstract
In option pricing, we often deal with options whose payoffs depend on multiple factors such as foreign exchange rates, stocks, etc. Usually, it leads to a knowledge of the joint distributions and complicated integration procedures. The paper develops an alternative approach that converts the option pricing problem to a dual one and presents a solution to the problem in the optional semimartingale setting. The paper contains several examples which illustrate results in terms of the parameters of models and options.
Computer Science and Mathematics, Applied Mathematics
Copyright:
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