Symmetric martingales and symmetric smiles
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Publication:734666
DOI10.1016/j.spa.2009.07.007zbMath1177.60044OpenAlexW1992013909MaRDI QIDQ734666
Publication date: 13 October 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2009.07.007
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (9)
Exchangeability-type properties of asset prices ⋮ On the Uniqueness of Martingales with Certain Prescribed Marginals ⋮ THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON ⋮ Invariance properties of random vectors and stochastic processes based on the zonoid concept ⋮ MAXIMUM DRAWDOWN INSURANCE ⋮ Weak reflection principle for Lévy processes ⋮ VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY ⋮ Asian options on the harmonic average ⋮ BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS
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