Market symmetry in time-changed Brownian models

被引：5
|
作者：
Fajardo, Jose [1 ]
Mordecki, Ernesto [2 ]
机构：
[1] IBMEC Business Sch, BR-20030020 Rio De Janeiro, Brazil
[2] Univ Republ Igua, Fac Ciencias, Ctr Matemat, Montevideo 11400, Uruguay
来源：
FINANCE RESEARCH LETTERS | 2010年 / 7卷 / 01期
关键词：
Time-changed Brownian motion; Subordination; Symmetry;
D O I：
10.1016/j.frl.2009.11.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper we examine which Brownian subordination with drift exhibits (lie symmetry property introduced by Fajardo and Mordecki [2006. Quantitative Finance 6, 219-227]. We find that when the subordination results in a Levy process, a necessary and sufficient condition for the symmetry to hold is that the drift must be equal to-1/2. Also, we derive explicit conditions to test whether tire NIG, CGMY and Meixner processes are symmetric or not. Finally, we perform some tests with real financial data. (C) 2009 Elsevier Inc. All rights reserved.
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页码：53 / 59
页数：7
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