Symmetry and duality in Lévy markets
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Publication:5484646
DOI10.1080/14697680600680068zbMath1136.91431OpenAlexW2089933296MaRDI QIDQ5484646
Ernesto Mordecki, José Fajardo
Publication date: 21 August 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600680068
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Related Items (19)
Exchangeability-type properties of asset prices ⋮ Fourier Cosine Expansions and Put–Call Relations for Bermudan Options ⋮ Option pricing for symmetric Lévy returns with applications ⋮ Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ Early exercise boundaries for American-style knock-out options ⋮ A numerical analysis of American options with regime switching ⋮ Double continuation regions for American options under Poisson exercise opportunities ⋮ Perpetual American options with asset-dependent discounting ⋮ Detection of changes in a random financial sequence with a stable distribution ⋮ On the duality principle in option pricing: semimartingale setting ⋮ SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW ⋮ Stochastic flow approach to Dupire's formula ⋮ Barrier style contracts under Lévy processes once again ⋮ Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models ⋮ Symmetric martingales and symmetric smiles ⋮ Semi-static hedging for certain Margrabe-type options with barriers ⋮ SYMMETRIES IN LÉVY TERM STRUCTURE MODELS ⋮ Skewness premium with Lévy processes ⋮ Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
Cites Work
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- The Pricing of Options and Corporate Liabilities
- Pricing contingent claims on stocks driven by Lévy processes
- Optimal stopping and perpetual options for Lévy processes
- Processes of Meixner type
- Changes of numéraire, changes of probability measure and option pricing
- Option pricing when underlying stock returns are discontinuous
- On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments
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