Exchangeability-type properties of asset prices

DOI10.1239/AAP/1316792665MaRDI QIDQ3173000zbMATH OpenOpenAlexFDO

Authors 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

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)

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.

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Cited in

(10)

• 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
• Multivariate extension of put-call symmetry
• scientific article; zbMATH DE number 1101542 (Why is no real title available?)
• 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
• Multiasset derivatives and joint distributions of asset prices
• Lift zonoid order and functional inequalities

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