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

页码：967 / 986

页数：20

共 50 条

[41] Hidden structure of symmetries
Bogoyavlenskij, OI
COMMUNICATIONS IN MATHEMATICAL PHYSICS, 2005, 254 (02) : 479 - 488
[42] Hidden structure of symmetries
Bogoyavlenskii, OI
RUSSIAN MATHEMATICAL SURVEYS, 2004, 59 (04) : 787 - 789
[43] Models of flavor with discrete symmetries
Aranda, A
PARTICLES AND FIELDS, PROCEEDINGS, 2002, 623 : 333 - 336
[44] Symmetries of holographic minimal models
Matthias R. Gaberdiel
Thomas Hartman
Journal of High Energy Physics, 2011
[45] ON THE SYMMETRIES OF EQUILIBRIUM STELLAR MODELS
LINDBLOM, L
PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY OF LONDON SERIES A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, 1992, 340 (1658): : 353 - 364
[46] Hidden Structure of Symmetries
O.I. Bogoyavlenskij
Communications in Mathematical Physics, 2005, 254 : 479 - 488
[47] Symmetries of holographic minimal models
Gaberdiel, Matthias R.
Hartman, Thomas
JOURNAL OF HIGH ENERGY PHYSICS, 2011, (05)
[48] Hidden Symmetries of Stochastic Models
Aneva, Boyka
SYMMETRY INTEGRABILITY AND GEOMETRY-METHODS AND APPLICATIONS, 2007, 3
[49] GAUGE MODELS WITH APPROXIMATE SYMMETRIES
SCHATTNER, P
PHYSICAL REVIEW D, 1974, 9 (08) : 2377 - 2385
[50] Short-term risk management using stochastic Taylor expansions under Levy models
Schoutens, W
Studer, M
INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (01): : 173 - 188

← 1 2 3 4 5 →