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 $Z_2$ graded Lie algebra is generalized to a new form, which may be called $Z_{2,2}$ graded Lie algebra. It is shown that there exists close connections between the $Z_{2,2}$ graded Lie algebra and parastatistics, so the $Z_{2,2}$ can be used to study and analyse various symmetries and supersymmetries of the paraparticle systems