SYMMETRIES IN LEVY TERM STRUCTURE MODELS

被引：4
|
作者：
Eberlein, Ernst [1 ]
Kluge, Wolfgang [1 ]
Papapantoleon, Antonis [1 ]
机构：
[1] Univ Freiburg, Dept Math Stochast, Eckerstrasse 1, D-79104 Freiburg, Germany
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2006年 / 9卷 / 06期
关键词：
Time-inhomogeneous Levy processes; change of measure; symmetry; Heath-Jarrow-Morton model; LIBOR model; forward price model;
D O I：
10.1142/S0219024906003809
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Symmetry results between call and put options have been widely studied in equity markets. We provide similar symmetry results between caps and floors in a Heath-JarrowMorton, a LIBOR and a forward price model, driven by time-inhomogeneous Levy processes. On the way, we review the basic properties of these models.
引用
收藏
页码：967 / 986
页数：20
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