Stochastic Monotonicity and Duality ofkth Order with Application to Put-Call Symmetry of Powered Options

DOI10.1239/jap/1429282608zbMath1344.60074arXiv1405.3894OpenAlexW2592775960MaRDI QIDQ5252238

Vassili N. Kolokol'tsov

Publication date: 29 May 2015

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

Full work available at URL: https://arxiv.org/abs/1405.3894

zbMATH Keywords

Markov processesgeneratorsstochastic dualitydual processesstochastic monotonicitydual semigroupput-call symmetrypowered options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Financial applications of other theories (91G80) Transition functions, generators and resolvents (60J35)

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