Quasi--Self-Dual Exponential Lévy Processes

DOI10.1137/110859555zbMath1312.60058arXiv1201.5132OpenAlexW2031526451MaRDI QIDQ2940776

Michael Schmutz, Thorsten Rheinländer

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.5132

zbMATH Keywords

Lévy processesbarrier optionsput-call symmetrysemistatic hedgingquasi-self-duality

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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