Exchangeability type properties of asset prices

Details Exchangeability type properties of asset prices Exchangeability type properties of asset prices

2009-01-30

arxiv.org/abs/0901.4914v3

Economy

Quantitative Finance

Pricing of Securities

The final version of the paper "Semi-static hedging under exchangeability type conditions". To appear in Advances in Applied

Scientific paper

In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry property and the duality principle in option pricing. A particular attention is devoted to the case of asset prices driven by Levy processes. Based on this, concrete semi-static hedging techniques for multi-asset barrier options, such as certain weighted barrier spread options, weighted barrier swap options or weighted barrier quanto-swap options are suggested.

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