30 citations · 44 across the 8 of their papers we have counts for
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q-fin.PR2009
Exchangeability type properties of asset prices
Ilya Molchanov, Michael Schmutz
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…
q-fin.PR2008★ 2 cited
Semi-static hedging for certain Margrabe type options with barriers
Michael Schmutz
It turns out that in the bivariate Black-Scholes economy Margrabe type options exhibit symmetry properties leading to semi-static hedges of rather general barrier options. Some of…