CCF Seminar

Mike Tehranchi
Cambridge
Title: Put-call symmetry and self-duality

Abstract: We discuss generalisations of the notions of put-call symmetry and self-duality. These notions have found applications in the pricing and hedging of certain path-dependent contingent claims. Our results include a classification of the possible forms of self-duality in one-dimension: in addition to the arithmetic and geometric duality already appearing the literature, there exists exactly one other type of symmetry among continuous models. We also give a description of the possible forms of put-call symmetry for common models: in dimension greater than two, interesting new symmetries appear.

Date: Monday, April 16, 2012
Time: 5:00 pm
Location: Wean 5409
Submitted by:  Kasper Larsen