Exchangeability-type properties of asset prices

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

zbMATH Keywords

symmetry; exchangeability; payoff; Lévy process; zonoid; duality principle; barrier option; multi-asset option; semi-static hedging; homogeneous function; put-call symmetry; swap invariance

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60E05: Probability distributions: general theory

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Multiasset Derivatives and Joint Distributions of Asset Prices, Invariance properties of random vectors and stochastic processes based on the zonoid concept, The robustness of the generalized Gini index, Lift zonoid and barycentric representation on a Banach space with a cylinder measure, Lift zonoid order and functional inequalities

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