Functional co-monotony of processes with applications to peacocks and barrier options

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). We also derive semi-universal bounds for various barrier options.
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https://hal.archives-ouvertes.fr/hal-00733827
Contributor : Gilles Pagès <>
Submitted on : Monday, November 12, 2012 - 3:25:58 PM
Last modification on : Friday, December 13, 2019 - 12:38:04 PM
Long-term archiving on: Wednesday, February 13, 2013 - 3:45:46 AM

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  • HAL Id : hal-00733827, version 3
  • ARXIV : 1209.4262

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Gilles Pagès. Functional co-monotony of processes with applications to peacocks and barrier options. 2012. ⟨hal-00733827v3⟩

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