Papapantoleoen, A. (2006) Application for Semimartingales and Lèvy Processes in Finance: Duality and Valuation. Dissertation zur Erlangung des Doktorgrades der Fakultät für Mathematik und Physik der Albert-Ludwigs-Universitat, Freiburg im Breisgau.

has been cited by the following article:

• TITLE: Pricing a European Option in a Black-Scholes Quanto Market When Stock Price is a Semimartingale

  AUTHORS: E. R. Offen, E. M. Lungu

  KEYWORDS: Semimartingale, Hedging, Arbitrage, Contingent Claim

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.3, July 30, 2015

  ABSTRACT: We look at the price of the European call option in a quanto market defined on a filtered probability space when the exchange rate is being modeled by the process where Ht is a semimartingale. Precisely we look at an investor in a Sterling market who intends to buy a European call option in a Dollar market. The market consists of a Dollar bond, Sterling bond and and Sterling risky asset. We first of all convert the Sterling assets by using the exchange rate Et and later on derive an integro-differential equation that can be used to calculate the price on the option.