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SUMMARY:Put-call Symmetry - Mike Tehranchi (Cambridge)
DTSTART:20091110T163000Z
DTEND:20091110T173000Z
UID:TALK20517@talks.cam.ac.uk
CONTACT:Berestycki
DESCRIPTION:The pricing formulae for put and call options in the Black--Sc
 holes\nmodel satisfy a certain symmetry relationship.  There has been grow
 ing\ninterest in asset price models that exhibit this put-call symmetry\ns
 ince\, in the context of such models\, certain barrier options can be\nrep
 licated by a semi-static trading strategy in the underlying stock.\nThis t
 alk will survey these results as well as recent results on\ncharacterizing
  models that exhibit put-call symmetry.\n
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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