Exchangeability-type properties of asset prices
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Publication:3173000
DOI10.1239/aap/1316792665zbMath1233.60005arXiv0901.4914MaRDI QIDQ3173000
Michael Schmutz, Ilya S. Molchanov
Publication date: 10 October 2011
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0901.4914
symmetry; exchangeability; payoff; Lévy process; zonoid; duality principle; barrier option; multi-asset option; semi-static hedging; homogeneous function; put-call symmetry; swap invariance
60G51: Processes with independent increments; Lévy processes
60E05: Probability distributions: general theory
91G20: Derivative securities (option pricing, hedging, etc.)
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