113 research outputs found
Functional co-monotony of processes with applications to peacocks and barrier options
We show that several general classes of stochastic processes satisfy a
functional co-monotony principle, including processes with independent
increments, Brownian diffusions, Liouville processes. As a first application,
we recover some recent results about peacock processes obtained by Hirsch et
al. which were themselves motivated by a former work of Carr et al. about the
sensitivity of Asian Call options with respect to their volatility and residual
maturity (seniority). We also derive semi-universal bounds for various barrier
options.Comment: 27 page
A New Kind of Graded Lie Algebra and Parastatistical Supersymmetry
In this paper the usual graded Lie algebra is generalized to a new
form, which may be called graded Lie algebra. It is shown that there
exists close connections between the graded Lie algebra and
parastatistics, so the can be used to study and analyse various
symmetries and supersymmetries of the paraparticle systems
Complete moment convergence for weighted sums of negatively superadditive dependent random variables
A complete convergence theorem for weighted sums of arrays of rowwise negatively dependent random variables
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