Exchangeability-type properties of asset prices

DOI10.1239/AAP/1316792665zbMATH Open1233.60005arXiv0901.4914OpenAlexW2257052549MaRDI QIDQ3173000FDOQ3173000

Michael Schmutz, Ilya S. Molchanov

Publication date: 10 October 2011

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry property and the duality principle in option pricing. A particular attention is devoted to the case of asset prices driven by Levy processes. Based on this, concrete semi-static hedging techniques for multi-asset barrier options, such as certain weighted barrier spread options, weighted barrier swap options or weighted barrier quanto-swap options are suggested.

Full work available at URL: https://arxiv.org/abs/0901.4914

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zbMATH Keywords

symmetryexchangeabilityzonoidbarrier optionmulti-asset optionduality principlesemi-static hedginghomogeneous functionput-call symmetrypayoffLévy processswap invariance

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited In (9)

• Invariance properties of random vectors and stochastic processes based on the zonoid concept
• The robustness of the generalized Gini index
• The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable, dependent claim occurrences
• Multiasset Derivatives and Joint Distributions of Asset Prices
• Title not available (Why is that?)
• Put-call symmetry: extensions and applications
• Symmetry and duality in Lévy markets
• Lift zonoid and barycentric representation on a Banach space with a cylinder measure
• Lift zonoid order and functional inequalities

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