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Put-Call Duality and Symmetry

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Author Info
Fajardo, J.
Mordecki, E.

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File URL: http://www.ibmecsp.edu.br/pesquisa/download.php?recid=2661
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Paper provided by Finance Lab, Ibmec São Paulo in its series Finance Lab Working Papers with number flwp_54.

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Date of creation: Oct 2003
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Handle: RePEc:ibm:finlab:flwp_54

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Steven Kou, 2000. "A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability," Econometric Society World Congress 2000 Contributed Papers 0062, Econometric Society. [Downloadable!]
  2. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)
  3. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April. [Downloadable!]
  4. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144. [Downloadable!] (restricted)
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  5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
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  1. José Fajardo & Ernesto Mordecki, 2005. "Duality and Derivative Pricing with Time-Changed Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-12, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
  2. B. Jourdain, 2007. "Stochastic flow approach to Dupire’s formula," Finance and Stochastics, Springer, vol. 11(4), pages 521-535, October. [Downloadable!] (restricted)
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