Symmetry and duality in Lévy markets
DOI10.1080/14697680600680068zbMATH Open1136.91431OpenAlexW2089933296MaRDI QIDQ5484646FDOQ5484646
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
Recommendations
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)
Cites Work
- The pricing of options and corporate liabilities
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- Processes of Meixner type
- Option pricing when underlying stock returns are discontinuous
- Pricing contingent claims on stocks driven by Lévy processes
- 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
Cited In (22)
- Perpetual American options with asset-dependent discounting
- Symmetric martingales and symmetric smiles
- Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
- Barrier style contracts under Lévy processes once again
- A Note on the Call-Put Parity and a Call-Put Duality
- Put-call symmetry: extensions and applications
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- Stochastic flow approach to Dupire's formula
- A numerical analysis of American options with regime switching
- Detection of changes in a random financial sequence with a stable distribution
- SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
- Skewness premium with Lévy processes
- On the duality principle in option pricing: semimartingale setting
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
- Early exercise boundaries for American-style knock-out options
- A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
- Semi-static hedging for certain Margrabe-type options with barriers
- Exchangeability-type properties of asset prices
- Double continuation regions for American options under Poisson exercise opportunities
- Option pricing for symmetric Lévy returns with applications
- SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW
- Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models
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