The Duality Principle for Multidimensional Optional Semimartingales
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- Albert N. Shiryaev & Jan Kallsen, 2002. "The cumulant process and Esscher's change of measure," Finance and Stochastics, Springer, vol. 6(4), pages 397-428.
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Keywords
optional semimartingales; derivative pricing; duality relations;All these keywords.
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