Multivariate Extension of Put-Call Symmetry
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Publication:3563698
DOI10.1137/090754194zbMath1200.91292MaRDI QIDQ3563698
Michael Schmutz, Ilya S. Molchanov
Publication date: 1 June 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/6c7a50c9ba99e39d428fd4e1f702dc5723c4d28e
Lévy process; barrier option; put-call symmetry; multiasset option; dual market; semistatic hedging; self-dual distribution
60G51: Processes with independent increments; Lévy processes
60E05: Probability distributions: general theory
91G20: Derivative securities (option pricing, hedging, etc.)
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