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

Invariance properties of random vectors and stochastic processes based on the zonoid concept, Lift zonoid and barycentric representation on a Banach space with a cylinder measure, Lift zonoid order and functional inequalities

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