Calls, zonoids, peacocks and log-concavity
Mathematical Finance
2016-10-31 v1
Abstract
The main results are two characterisations of log-concave densities in terms of the collection of lift zonoids corresponding to a peacock. These notions are recalled and connected to arbitrage-free asset pricing in financial mathematics.
Cite
@article{arxiv.1610.09306,
title = {Calls, zonoids, peacocks and log-concavity},
author = {Michael R. Tehranchi},
journal= {arXiv preprint arXiv:1610.09306},
year = {2016}
}