The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to a problem with one Lévy driven stock...

We study the skewness premium (SK) introduced by Bates [<italic>J. Finance</italic>, 1991, <bold>46</bold>(3), 1009-1044] in a general context using Lévy processes. Under a symmetry condition, Fajardo and Mordecki [<italic>Quant. Finance</italic>, 2006, <bold>6</bold>(3), 219-227] obtained that SK is given by Bates' <italic>x</italic>% rule. In this paper, we study SK...

type="main" xml:id="sjos12033-abs-0001" <title type="main">ABSTRACT</title>We study the asymptotic behaviour of the maximum likelihood estimator corresponding to the observation of a trajectory of a skew Brownian motion, through a uniform time discretization. We characterize the speed of convergence and the limiting...

The aim of this paper is to introduce the notion of symmetry in a Levy 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, which is also reviewed in the paper, and that we call put-call...

In this paper we examine which Brownian subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki [2006. Quantitative Finance 6, 219-227]. We find that when the subordination results in a Lévy process, a necessary and sufficient condition for the symmetry to...