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Some Examples of Peacocks

  • Francis Hirsch
  • Christophe Profeta
  • Bernard Roynette
  • Marc Yor
Part of the B&SS — Bocconi & Springer Series book series (BS)

Abstract

We exhibit several classes of processes which are increasing in the convex order. Among these, an important class consists of the arithmetic means of martingales (which are closely related with Asian options).

Keywords

Brownian Motion Fractional Brownian Motion Standard Brownian Motion Local Martingale Stochastic Order 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Francis Hirsch
    • 1
  • Christophe Profeta
    • 2
  • Bernard Roynette
    • 2
  • Marc Yor
    • 3
    • 4
  1. 1.Laboratoire d’Analyse et ProbabilitésUniversité d’Évry-Val d’EssonneFrance
  2. 2.Institut Élie CartanUniversité Henri PoincaréNancy
  3. 3.Laboratoire de Probabilités et Modèles AléatoiresUniversité Pierre et Marie CurieParis
  4. 4.Institut Universitaire de FranceFrance

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