Pricing Derivatives on Two-dimensional Lévy Processes∗
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چکیده
The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov’s Theorem for Lévy processes, in order to reduce the posed problem to a problem with one Lévy driven stock in an auxiliary market, baptized as “dual market”. In this way, we extend the results obtained by Gerber and Shiu (1996) for two dimensional Brownian motion.
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تاریخ انتشار 2005