Record Detail

The comparison of investments is a key research topic in mathematical
finance. Financial derivatives are popular tools for economic investments. A common
financial derivative is the so-called condor derivative. A new mathematical frame-
work for the comparison of investments in condor derivatives is introduced in this
manuscript. That model is based on the theory of stochastic orders. Namely, a new
family of stochastic orders to approach such comparison problems is introduced. That
family is analyzed in detail providing characterizations of the new orders, properties
and connections with other stochastic orderings. Results which permit to compare
condor derivatives, when the prices of the underlying assets follow Brownian move-
ments, or geometric Brownian movements, are developed. Moreover, an analysis with
the DOWJONES and EUROSTOXX indexes shows how to use the new stochastic
orders to compare investments in condor derivatives based on those indexes. On the
other hand, it is shown how well-known stochastic orders can be applied to compare