We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, <CitationRef CitationID="CR10">2006</CitationRef>), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth OU–SV. In particular, we address the non-Gaussian OU–SV model...</citationref>

In this paper we present new pricing formulas for some single barrier style contracts of the European type when the underlying process is driven by an important class of Lévy processes, which includes the CGMY model, generalized hyperbolic model and Meixner model, frequently used in the...

The aim of this work is to study the pricing problem for 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 the pricing of a one Lévy driven stock in an auxiliary...

In this paper we study the pricing problem of derivatives written in terms of a two dimensional Time-changed Lévy processes. Then, we examine an existing relation between prices of put and call options, of both the European and the American type. This relation is called put-call duality. It...

In this paper we examine which Brownian Subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki (2006b). We obtain that when the subordination results in a Lévy process, a necessary and sufficient condition for the symmetry to hold is that drift must be equal...

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 the pricing of a one Lévy driven stock...