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.
Type de document :
Rapport
2012
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https://hal.archives-ouvertes.fr/hal-00733827
Contributeur : Gilles Pagès <>
Soumis le : lundi 12 novembre 2012 - 15:25:58
Dernière modification le : lundi 29 mai 2017 - 14:23:40
Document(s) archivé(s) le : mercredi 13 février 2013 - 03:45:46

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Comonotonie_4.pdf
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  • HAL Id : hal-00733827, version 3
  • ARXIV : 1209.4262

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UPMC | INSMI | PMA | LARA | USPC

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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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