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Symmetry and Time Changed Brownian Motions

  • José Fajardo

    (IBMEC Business School - Rio de Janeiro)

  • Ernesto Mordecki

    (Central Bank of Brazil)

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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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
Contact details of provider: 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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  1. 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.
  2. JosE Fajardo & Ernesto Mordecki, 2006. "Symmetry and duality in Levy markets," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 219-227.
  3. 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.
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