Exchangeability type properties of asset prices
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry property and the duality principle in option pricing. A particular attention is devoted to the case of asset prices driven by Levy processes. Based on this, concrete semi-static hedging techniques for multi-asset barrier options, such as certain weighted barrier spread options, weighted barrier swap options or weighted barrier quanto-swap options are suggested.
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.:
- Ernst Eberlein & Antonis Papapantoleon & Albert Shiryaev, 2008. "On the duality principle in option pricing: semimartingale setting," Finance and Stochastics, Springer, vol. 12(2), pages 265-292, April.
- Laurence, Peter & Wang, Tai-Ho, 2009. "Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 35-47, February.
- José Fajardo & Ernesto Mordecki, 2008. "Symmetry and Time Changed Brownian Motions," IBMEC RJ Economics Discussion Papers 2008-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- José Fajardo & Ernesto Mordecki, 2009.
"Skewness Premium with Lévy Processes,"
CREATES Research Papers
2009-10, School of Economics and Management, University of Aarhus.
- 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.
- 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.
- Michael Schmutz, 2008. "Semi-static hedging for certain Margrabe type options with barriers," Papers 0810.5146, arXiv.org, revised Feb 2010.
- Ernst Eberlein & Antonis Papapantoleon & Albert N. Shiryaev, 2008. "Esscher transform and the duality principle for multidimensional semimartingales," Papers 0809.0301, arXiv.org, revised Nov 2009.
- JosE Fajardo & Ernesto Mordecki, 2006. "Symmetry and duality in Levy markets," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 219-227.
- Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, Oxford University Press, vol. 90(1), pages 75-89.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:0901.4914. 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: (arXiv administrators)
If references are entirely missing, you can add them using this form.