Symmetry and duality in Lévy markets

DOI10.1080/14697680600680068MaRDI QIDQ5484646zbMATHOpenAlexFDO

Authors José Fajardo, Ernesto Mordecki

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

zbMATH Keywords

symmetrysmiledualitynumerairegirsanov theoremLévy processes

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Duality theory (optimization) (49N15)

Recommendations

• A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
• SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
• Put-call symmetry: extensions and applications
• Exchangeability-type properties of asset prices
• Option pricing for symmetric Lévy returns with applications

Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Changes of numéraire, changes of probability measure and option pricing
• On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments
• Optimal stopping and perpetual options for Lévy processes
• Option pricing when underlying stock returns are discontinuous
• Pricing contingent claims on stocks driven by Lévy processes
• Processes of Meixner type
• The pricing of options and corporate liabilities

Cited in

(24)

• A numerical analysis of American options with regime switching
• On the duality principle in option pricing: semimartingale setting
• Barrier style contracts under Lévy processes once again
• Early exercise boundaries for American-style knock-out options
• Stochastic monotonicity and duality of \(k\)th order with application to put-call symmetry of powered options
• SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
• Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
• Exchangeability-type properties of asset prices
• A Note on the Call-Put Parity and a Call-Put Duality
• Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
• Skewness premium with Lévy processes
• Quasi-self-dual exponential Lévy processes
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
• Option pricing for symmetric Lévy returns with applications
• Stochastic flow approach to Dupire's formula
• Perpetual American options with asset-dependent discounting
• Double continuation regions for American options under Poisson exercise opportunities
• A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
• Symmetric martingales and symmetric smiles
• Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models
• Put-call symmetry: extensions and applications
• Semi-static hedging for certain Margrabe-type options with barriers
• SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW
• Detection of changes in a random financial sequence with a stable distribution

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