Symmetry and duality in Lévy markets

@inproceedings{Fajardo2006SymmetryAD,
  title={Symmetry and duality in L{\'e}vy markets},
  author={Jos{\'e} Mar{\'i}a Cano Fajardo and Ernesto Mordecki},
  year={2006}
}
The aim of this paper is to introduce the notion of symmetry in a Lévy market. This notion appears as a particular case of a general known relation between prices of put and call options, of both the European and the American type, that is also reviewed in the paper, and that we call put-call duality. Symmetric Lévy markets have the distinctive feature of producing symmetric smile curves, in the log of strike/futures prices. Put-Call Duality is obtained as a consequence of a change of the risk… CONTINUE READING

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