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Duality and Symmetry with Time-Changed Lévy Processes

Brazilian Review of Econometrics

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Title Duality and Symmetry with Time-Changed Lévy Processes
Duality and Symmetry with Time-Changed Lévy Processes
 
Creator Fajardo, José
Mordecki, Ernesto
 
Description In this paper we review several relationships between prices of put and call options, of both the European and the American type, obtained mainly through Girsanov Theorem, when the asset price is driven by a time-changed Lévy process. This relation is called put-call duality, and includes the relation known as put-call symmetry as a particular case. Necessary and sufficient conditions for put-call symmetry to hold are shown in terms of the triplet of local characteristic of the time-changed Lévy process. This way we extend the results obtained by Fa jardo and Mordecki (2006b).
In this paper we review several relationships between prices of put and call options, of both the European and the American type, obtained mainly through Girsanov Theorem, when the asset price is driven by a time-changed Lévy process. This relation is called put-call duality, and includes the relation known as put-call symmetry as a particular case. Necessary and sufficient conditions for put-call symmetry to hold are shown in terms of the triplet of local characteristic of the time-changed Lévy process. This way we extend the results obtained by Fa jardo and Mordecki (2006b).
 
Publisher Sociedade Brasileira de Econometria
 
Date 2008-05-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
 
Format application/pdf
application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1519
10.12660/bre.v28n12008.1519
 
Source Brazilian Review of Econometrics; Vol. 28 No. 1 (2008); 95-110
Brazilian Review of Econometrics; v. 28 n. 1 (2008); 95-110
1980-2447
 
Language eng
por
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1519/946
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1519/947