53 citations · 91 across the 2 of their papers we have counts for
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…
q-fin.PR2008★ 38 cited
An introduction to Lévy processes with applications in finance
Antonis Papapantoleon
These lectures notes aim at introducing Lévy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of Lé…