Calls, zonoids, peacocks and log-concavity

2016/10/28 by Tehranchi, Michael R.
#60E15 #60G44 #91G20 #FOS: Economics and business #Mathematical Finance (q-fin.MF)

paper · doi:10.48550/arxiv.1610.09306

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.

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