A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets

DOI10.1007/978-3-540-30788-4_12MaRDI QIDQ5493548zbMATH OpenOpenAlexFDO

Authors José Fajardo, Ernesto Mordecki

Publication date 23 October 2006

Published in From Stochastic Calculus to Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-30788-4_12

zbMATH Keywords

optimal stoppingderivative pricingGirsanov's theoremLévy processesdual market method

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cited in

(6)

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• m-Double Poisson Lévy markets
• Symmetry and duality in Lévy markets
• Semi-static hedging for certain Margrabe-type options with barriers
• Stochastic monotonicity and duality of \(k\)th order with application to put-call symmetry of powered options

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