SYMMETRIES IN LÉVY TERM STRUCTURE MODELS

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–Jarrow–Morton, a LIBOR and a forward price model, driven by time-inhomogeneous Lévy processes. On the way, we review the basic properties of these models.

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Year of publication:	2006
Authors:	EBERLEIN, ERNST ; KLUGE, WOLFGANG ; PAPAPANTOLEON, ANTONIS
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 06, p. 967-986
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Time-inhomogeneous Lévy processes \| change of measure \| symmetry \| Heath–Jarrow–Morton model \| LIBOR model \| forward price model

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005050492