IDEAS home Printed from https://ideas.repec.org/r/taf/quantf/v6y2006i3p219-227.html
   My bibliography  Save this item

Symmetry and duality in Levy markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Ernst Eberlein & Wolfgang Kluge & Antonis Papapantoleon, 2006. "Symmetries In Lévy Term Structure Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 967-986.
  2. 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.
  3. José Fajardo, 2018. "Barrier style contracts under Lévy processes once again," Annals of Finance, Springer, vol. 14(1), pages 93-103, February.
  4. José Fajardo & Ernesto Mordecki, 2006. "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers 2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  5. Fajardo, José & Farias, Aquiles, 2010. "Derivative pricing using multivariate affine generalized hyperbolic distributions," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1607-1617, July.
  6. Marzia De Donno & Zbigniew Palmowski & Joanna Tumilewicz, 2020. "Double continuation regions for American and Swing options with negative discount rate in Lévy models," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 196-227, January.
  7. Thorsten Rheinlander & Michael Schmutz, 2012. "Quasi self-dual exponential L\'evy processes," Papers 1201.5132, arXiv.org.
  8. Jos� Fajardo & Ernesto Mordecki, 2014. "Skewness premium with L�vy processes," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1619-1626, September.
  9. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2020. "Early exercise boundaries for American-style knock-out options," European Journal of Operational Research, Elsevier, vol. 285(2), pages 753-766.
  10. Ilya Molchanov & Michael Schmutz, 2009. "Exchangeability type properties of asset prices," Papers 0901.4914, arXiv.org, revised Apr 2011.
  11. Fajardo, José, 2015. "Barrier style contracts under Lévy processes: An alternative approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 179-187.
  12. Thorsten Rheinlander & Michael Schmutz, 2012. "Self-dual continuous processes," Papers 1201.6516, arXiv.org.
  13. Kais Hamza & Fima C. Klebaner & Zinoviy Landsman & Ying-Oon Tan, 2014. "Option Pricing for Symmetric L\'evy Returns with Applications," Papers 1402.1554, arXiv.org.
  14. José Fajardo, 2017. "A new factor to explain implied volatility smirk," Applied Economics, Taylor & Francis Journals, vol. 49(40), pages 4026-4034, August.
  15. Fajardo, José & Mordecki, Ernesto, 2008. "Duality and Symmetry with Time-Changed Lévy Processes," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 28(1), May.
  16. Tehranchi, Michael R., 2009. "Symmetric martingales and symmetric smiles," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3785-3797, October.
  17. San‐Lin Chung & Yi‐Ta Huang & Pai‐Ta Shih & Jr‐Yan Wang, 2019. "Semistatic hedging and pricing American floating strike lookback options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 418-434, April.
  18. Federico De Olivera & José Fajardo & Ernesto Mordecki, 2018. "Skewed Lévy Models And Implied Volatility Skew," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-16, March.
  19. 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.
  20. Zbigniew Palmowski & José Luis Pérez & Kazutoshi Yamazaki, 2021. "Double continuation regions for American options under Poisson exercise opportunities," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 722-771, April.
  21. Dong Han & Fugee Tsung & Yanting Li & Jinguo Xian, 2010. "Detection of changes in a random financial sequence with a stable distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(7), pages 1089-1111.
  22. Fajardo, José, 2016. "Power Style Contracts Under Asymmetric Lévy Processes," MPRA Paper 71813, University Library of Munich, Germany.
  23. Zbigniew Palmowski & Jos'e Luis P'erez & Kazutoshi Yamazaki, 2020. "Double continuation regions for American options under Poisson exercise opportunities," Papers 2004.03330, arXiv.org.
  24. Rheinländer, Thorsten & Schmutz, Michael, 2013. "Self-dual continuous processes," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1765-1779.
  25. Fajardo, José & Mordecki, Ernesto, 2010. "Market symmetry in time-changed Brownian models," Finance Research Letters, Elsevier, vol. 7(1), pages 53-59, March.
  26. Walter Farkas & Ludovic Mathys, 2020. "Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing," Papers 2002.09911, arXiv.org.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.