Market symmetry in time-changed Brownian models
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Fajardo, José & Farias, Aquiles, 2009.
"Multivariate affine generalized hyperbolic distributions: An empirical investigation,"
International Review of Financial Analysis,
Elsevier, vol. 18(4), pages 174-184, September.
- José Fajardo & Aquiles Farias, 2008. "Multivariate Affine Generalized Hyperbolic Distributions: An Empirical Investigation," IBMEC RJ Economics Discussion Papers 2008-01, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Tehranchi, Michael R., 2009. "Symmetric martingales and symmetric smiles," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3785-3797, October.
- JosE Fajardo & Ernesto Mordecki, 2006. "Symmetry and duality in Levy markets," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 219-227.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- José Fajardo, 2014. "Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 319-327, October.
- Rheinländer, Thorsten & Schmutz, Michael, 2013. "Self-dual continuous processes," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1765-1779.
- Thorsten Rheinlander & Michael Schmutz, 2012. "Quasi self-dual exponential L\'evy processes," Papers 1201.5132, arXiv.org.
- Fajardo, José, 2015. "Barrier style contracts under Lévy processes: An alternative approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 179-187.
- Thorsten Rheinlander & Michael Schmutz, 2012. "Self-dual continuous processes," Papers 1201.6516, arXiv.org.
More about this item
KeywordsTime-changed Brownian motion Subordination Symmetry;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:7:y:2010:i:1:p:53-59. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/frl .