Duality with time-changed Lévy processes
Autor(a) principal: | |
---|---|
Data de Publicação: | 2005 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12507 |
Resumo: | In this paper we study the pricing problem of derivatives written in terms of a two dimensional time{changed L¶evy processes. Then, we examine an existing relation between prices of put and call options, of both the European and the American type. This relation is called put{call duality. It includes as a particular case, the relation known as put{call symmetry. Necessary and su±cient conditions for put{call symmetry to hold are shown, in terms of the triplet of local charac- teristic of the Time{changed L¶evy process. In this way we extend the results obtained in Fajardo and Mordecki (2004) to the case of time{changed Lévy processes. |
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Barbachan, José Santiago FajardoEscolas::EPGEFGV2014-11-19T12:07:27Z2014-11-19T12:07:27Z2005-04-14http://hdl.handle.net/10438/12507In this paper we study the pricing problem of derivatives written in terms of a two dimensional time{changed L¶evy processes. Then, we examine an existing relation between prices of put and call options, of both the European and the American type. This relation is called put{call duality. It includes as a particular case, the relation known as put{call symmetry. Necessary and su±cient conditions for put{call symmetry to hold are shown, in terms of the triplet of local charac- teristic of the Time{changed L¶evy process. In this way we extend the results obtained in Fajardo and Mordecki (2004) to the case of time{changed Lévy processes.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessLévy processesTime changeSymmetryEconomiaDerivativos (Finanças) - PreçosOpções (Finanças) - Modelos matemáticosDuality with time-changed Lévy processesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL1819.pdf1819.pdfapplication/pdf199322https://repositorio.fgv.br/bitstreams/19bf834a-3a0a-4441-928d-d71d6b911b48/download7339e16e6e530e62029340cb9df9248eMD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv |
Duality with time-changed Lévy processes |
title |
Duality with time-changed Lévy processes |
spellingShingle |
Duality with time-changed Lévy processes Barbachan, José Santiago Fajardo Lévy processes Time change Symmetry Economia Derivativos (Finanças) - Preços Opções (Finanças) - Modelos matemáticos |
title_short |
Duality with time-changed Lévy processes |
title_full |
Duality with time-changed Lévy processes |
title_fullStr |
Duality with time-changed Lévy processes |
title_full_unstemmed |
Duality with time-changed Lévy processes |
title_sort |
Duality with time-changed Lévy processes |
author |
Barbachan, José Santiago Fajardo |
author_facet |
Barbachan, José Santiago Fajardo |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Barbachan, José Santiago Fajardo |
dc.subject.por.fl_str_mv |
Lévy processes Time change Symmetry |
topic |
Lévy processes Time change Symmetry Economia Derivativos (Finanças) - Preços Opções (Finanças) - Modelos matemáticos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Derivativos (Finanças) - Preços Opções (Finanças) - Modelos matemáticos |
description |
In this paper we study the pricing problem of derivatives written in terms of a two dimensional time{changed L¶evy processes. Then, we examine an existing relation between prices of put and call options, of both the European and the American type. This relation is called put{call duality. It includes as a particular case, the relation known as put{call symmetry. Necessary and su±cient conditions for put{call symmetry to hold are shown, in terms of the triplet of local charac- teristic of the Time{changed L¶evy process. In this way we extend the results obtained in Fajardo and Mordecki (2004) to the case of time{changed Lévy processes. |
publishDate |
2005 |
dc.date.issued.fl_str_mv |
2005-04-14 |
dc.date.accessioned.fl_str_mv |
2014-11-19T12:07:27Z |
dc.date.available.fl_str_mv |
2014-11-19T12:07:27Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12507 |
url |
http://hdl.handle.net/10438/12507 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Seminários de pesquisa econômica da EPGE |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Fundação Getulio Vargas (FGV) |
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FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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repository.name.fl_str_mv |
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repository.mail.fl_str_mv |
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