Calls, zonoids, peacocks and log-concavity
classification
💱 q-fin.MF
keywords
zonoidsarbitrage-freeassetcallscharacterisationscollectionconnectedcorresponding
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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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