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Symmetry and Time Changed Brownian Motions

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Author Info

  • José Fajardo

    (IBMEC Business School - Rio de Janeiro)

  • Ernesto Mordecki

    (Central Bank of Brazil)

Abstract

In this paper we examine which Brownian Subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki (2006b). We obtain that when the subordination results in a Lévy process, a necessary and sufficient condition for the symmetry to hold is that drift must be equal to -1/2.

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File URL: http://professores.ibmecrj.br/erg/dp/papers/dp200802.pdf
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Bibliographic Info

Paper provided by Economics Research Group, IBMEC Business School - Rio de Janeiro in its series IBMEC RJ Economics Discussion Papers with number 2008-02.

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Date of creation: 26 Sep 2008
Date of revision:
Handle: RePEc:ibr:dpaper:2008-02

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Postal: Av. Pres. Wilson 118, 11 andar, Rio de Janeiro, RJ, Brazil, 20030-020
Web page: http://professores.ibmecrj.br/erg/
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Related research

Keywords: Time Changed; Subordination; Symmetry;

This paper has been announced in the following NEP Reports:

References

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  1. Eberlein, Ernst & Keller, Ulrich & Prause, Karsten, 1998. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model," The Journal of Business, University of Chicago Press, vol. 71(3), pages 371-405, July.
  2. José Fajardo & Ernesto Mordecki, 2006. "Pricing Derivatives On Two-Dimensional Lévy Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 185-197.
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Cited by:
  1. Ilya Molchanov & Michael Schmutz, 2009. "Exchangeability type properties of asset prices," Papers 0901.4914, arXiv.org, revised Apr 2011.

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