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math.PR2008★ 8 cited
Skewness Premium with Lévy Processes
José Fajardo, Ernesto Mordecki
We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) obtain that SK is gi…
math.PR2008
Symmetry and Time Changed Brownian Motions
José Fajardo, Ernesto Mordecki
In this paper we examine which Brownian Subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki (2006). We obtain that when the subordination res…