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摘要翻译：
期权定价中的对偶原理旨在将依赖于多个变量的估值问题与相应的对偶期权定价问题联系起来，从而简化估值问题。在这里，我们分析依赖于几种资产的期权的对偶原理。资产价格过程由一般半鞅驱动，通过Esscher变换构造对偶测度。作为一个应用程序，我们可以将掉期和quanto期权与标准看涨和看跌期权联系起来。本文还提供了跳变模型的显式计算。
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英文标题：
《Esscher transform and the duality principle for multidimensional
semimartingales》
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作者：
Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev
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最新提交年份：
2009
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分类信息：
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem. Here, we analyze the duality principle for options that depend on several assets. The asset price processes are driven by general semimartingales, and the dual measures are constructed via an Esscher transformation. As an application, we can relate swap and quanto options to standard call and put options. Explicit calculations for jump models are also provided.
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PDF链接：
https://arxiv.org/pdf/0809.0301
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