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

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