SYMMETRIES IN LÉVY TERM STRUCTURE MODELS

Ernst Eberlein (), Wolfgang Kluge () and Antonis Papapantoleon ()
Additional contact information
Ernst Eberlein: Department of Mathematical Stochastics, University of Freiburg, Eckerstrasse 1, D–79104 Freiburg, Germany
Wolfgang Kluge: Department of Mathematical Stochastics, University of Freiburg, Eckerstrasse 1, D–79104 Freiburg, Germany
Antonis Papapantoleon: Department of Mathematical Stochastics, University of Freiburg, Eckerstrasse 1, D–79104 Freiburg, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2006, vol. 09, issue 06, 967-986

Abstract: 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.

Keywords: Time-inhomogeneous Lévy processes; change of measure; symmetry; Heath–Jarrow–Morton model; LIBOR model; forward price model (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024906003809
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:09:y:2006:i:06:n:s0219024906003809

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024906003809

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().