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- W2727742372 abstract "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)." @default.
- W2727742372 created "2017-07-14" @default.
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- W2727742372 date "2012-10-04" @default.
- W2727742372 modified "2023-09-27" @default.
- W2727742372 title "Functional co-monotony of processes with an application to peacocks" @default.
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