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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)

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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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Publisher 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
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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;

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References listed on IDEAS
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. Eberlein, Ernst & Keller, Ulrich & Prause, Karsten, 1998. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model," Journal of Business, University of Chicago Press, vol. 71(3), pages 371-405, July. [Downloadable!] (restricted)
  2. Jos㉠Fajardo & Ernesto Mordecki, 2006. "Pricing Derivatives On Two-Dimensional Lã‰Vy Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 185-197. [Downloadable!] (restricted)
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Cited by:
(explanations, 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. Ilya Molchanov & Michael Schmutz, 2009. "Semi-static hedging under exchangeability type conditions," Quantitative Finance Papers 0901.4914, arXiv.org, revised Mar 2009. [Downloadable!]
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This page was last updated on 2009-11-25.

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