Matches in SemOpenAlex for { <https://semopenalex.org/work/W4300222849> ?p ?o ?g. }
Showing items 1 to 66 of
66
with 100 items per page.
- W4300222849 abstract "The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L'evy processes such that the resulting market does not admit arbitrage opportunities. We derive a set of equivalent conditions for the stochastic logarithm of quasi self-dual martingale models and derive a further characterization of these models not depending on the L'evy-Khintchine parametrization. Since for non-vanishing order parameter two martingale properties have to be satisfied simultaneously, there is a non-trivial relation between the order and shift parameter representing carrying costs in financial applications. This leads to an equation containing an integral term which has to be inverted in applications. We first discuss several important properties of this equation and, for some well-known models, we derive a family of closed-form inversion formulae leading to parameterizations of sets of possible combinations in the corresponding parameter spaces of well-known L'evy driven models." @default.
- W4300222849 created "2022-10-03" @default.
- W4300222849 creator A5003928665 @default.
- W4300222849 creator A5025615709 @default.
- W4300222849 date "2012-01-24" @default.
- W4300222849 modified "2023-10-17" @default.
- W4300222849 title "Quasi self-dual exponential L'evy processes" @default.
- W4300222849 doi "https://doi.org/10.48550/arxiv.1201.5132" @default.
- W4300222849 hasPublicationYear "2012" @default.
- W4300222849 type Work @default.
- W4300222849 citedByCount "0" @default.
- W4300222849 crossrefType "posted-content" @default.
- W4300222849 hasAuthorship W4300222849A5003928665 @default.
- W4300222849 hasAuthorship W4300222849A5025615709 @default.
- W4300222849 hasBestOaLocation W43002228491 @default.
- W4300222849 hasConcept C10138342 @default.
- W4300222849 hasConcept C121332964 @default.
- W4300222849 hasConcept C124952713 @default.
- W4300222849 hasConcept C134306372 @default.
- W4300222849 hasConcept C142362112 @default.
- W4300222849 hasConcept C151376022 @default.
- W4300222849 hasConcept C160623529 @default.
- W4300222849 hasConcept C162324750 @default.
- W4300222849 hasConcept C202444582 @default.
- W4300222849 hasConcept C202887219 @default.
- W4300222849 hasConcept C2780980858 @default.
- W4300222849 hasConcept C28826006 @default.
- W4300222849 hasConcept C33923547 @default.
- W4300222849 hasConcept C39927690 @default.
- W4300222849 hasConcept C48406656 @default.
- W4300222849 hasConcept C62520636 @default.
- W4300222849 hasConcept C74902906 @default.
- W4300222849 hasConceptScore W4300222849C10138342 @default.
- W4300222849 hasConceptScore W4300222849C121332964 @default.
- W4300222849 hasConceptScore W4300222849C124952713 @default.
- W4300222849 hasConceptScore W4300222849C134306372 @default.
- W4300222849 hasConceptScore W4300222849C142362112 @default.
- W4300222849 hasConceptScore W4300222849C151376022 @default.
- W4300222849 hasConceptScore W4300222849C160623529 @default.
- W4300222849 hasConceptScore W4300222849C162324750 @default.
- W4300222849 hasConceptScore W4300222849C202444582 @default.
- W4300222849 hasConceptScore W4300222849C202887219 @default.
- W4300222849 hasConceptScore W4300222849C2780980858 @default.
- W4300222849 hasConceptScore W4300222849C28826006 @default.
- W4300222849 hasConceptScore W4300222849C33923547 @default.
- W4300222849 hasConceptScore W4300222849C39927690 @default.
- W4300222849 hasConceptScore W4300222849C48406656 @default.
- W4300222849 hasConceptScore W4300222849C62520636 @default.
- W4300222849 hasConceptScore W4300222849C74902906 @default.
- W4300222849 hasLocation W43002228491 @default.
- W4300222849 hasLocation W43002228492 @default.
- W4300222849 hasOpenAccess W4300222849 @default.
- W4300222849 hasPrimaryLocation W43002228491 @default.
- W4300222849 hasRelatedWork W1968814555 @default.
- W4300222849 hasRelatedWork W2000419992 @default.
- W4300222849 hasRelatedWork W2013242335 @default.
- W4300222849 hasRelatedWork W2069044858 @default.
- W4300222849 hasRelatedWork W2330900335 @default.
- W4300222849 hasRelatedWork W2349513171 @default.
- W4300222849 hasRelatedWork W2953027740 @default.
- W4300222849 hasRelatedWork W3124938813 @default.
- W4300222849 hasRelatedWork W4234233784 @default.
- W4300222849 hasRelatedWork W4300222849 @default.
- W4300222849 isParatext "false" @default.
- W4300222849 isRetracted "false" @default.
- W4300222849 workType "article" @default.