2 papers
math.PR2008★ 53 cited
Esscher transform and the duality principle for multidimensional semimartingales
Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev
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…
math.PR2007
Predicting the Last Zero of Brownian Motion with Drift
J. du Toit, G. Peskir, A. N. Shiryaev
Given a standard Brownian motion with drift and letting denote the last zero of before , we consider the optimal prediction probl…