Multivariate Extension of Put-Call Symmetry
From MaRDI portal
Publication:3563698
DOI10.1137/090754194zbMath1200.91292OpenAlexW1997857684MaRDI QIDQ3563698
Michael Schmutz, Ilya S. Molchanov
Publication date: 1 June 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/6c7a50c9ba99e39d428fd4e1f702dc5723c4d28e
Lévy processbarrier optionput-call symmetrymultiasset optiondual marketsemistatic hedgingself-dual distribution
Processes with independent increments; Lévy processes (60G51) Probability distributions: general theory (60E05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (10)
Exchangeability-type properties of asset prices ⋮ Multiasset Derivatives and Joint Distributions of Asset Prices ⋮ Operations between sets in geometry ⋮ Invariance properties of random vectors and stochastic processes based on the zonoid concept ⋮ Weak reflection principle for Lévy processes ⋮ Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion ⋮ VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY ⋮ A Black-Scholes inequality: applications and generalisations ⋮ Semi-static hedging for certain Margrabe-type options with barriers ⋮ Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
This page was built for publication: Multivariate Extension of Put-Call Symmetry
