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Duality with time-changed Lévy processes

By José Fajardo

Abstract

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

Topics: Lévy processes, Time Change, Symmetry., Derivativos (Finanças) - Preços, Opções (Finanças)- Modelos matemáticos
Publisher: Escola de Pós-Graduação em Economia da FGV
Year: 2005
OAI identifier: oai:agregador.ibict.br.RI_FGV:oai:bibliotecadigital.fgv.br:10438/12507
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