过程的泛函共单调性及其在孔雀期权和障碍期权中的应用
Functional co-monotony of processes with applications to peacocks and barrier options
摘要：
我们证明了几类一般的随机过程满足泛函共单调原理，包括具有独立增量的过程，布朗扩散，刘维过程。作为第一个应用，我们恢复了Hirsch等人最近获得的孔雀过程的一些结果。这些结果本身是由Carr等人以前的工作所激发的。关于亚洲看涨期权的敏感性，关于它们的波动率和剩余成熟度（资历）。我们还得到了各种障碍期权的半普适界。
英文摘要：
We show that several general classes of stochastic processes satisfy a functional co-monotony principle, including processes with independent increments, Brownian diffusions, Liouville processes. As a first application, we recover some recent results about peacock processes obtained by Hirsch et al. which were themselves motivated by a former work of Carr et al. about the sensitivity of Asian Call options with respect to their volatility and residual maturity (seniority). We also derive semi-universal bounds for various barrier options.
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