  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.
