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Put-call Symmetry

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If you have a question about this talk, please contact Berestycki .

The pricing formulae for put and call options in the Black—Scholes model satisfy a certain symmetry relationship. There has been growing interest in asset price models that exhibit this put-call symmetry since, in the context of such models, certain barrier options can be replicated by a semi-static trading strategy in the underlying stock. This talk will survey these results as well as recent results on characterizing models that exhibit put-call symmetry.

This talk is part of the Probability series.

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Rayleigh Seminar Room, Maxwell Centre Fellows Dining Room [TBC], Churchill College Wednesday 24 January 2007, 18.00-19.30, Erasmus room, Queens' College

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