English, Article edition: SYMMETRIES IN LÃVY TERM STRUCTURE MODELS ERNST EBERLEIN; WOLFGANG KLUGE; ANTONIS PAPAPANTOLEON

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Bookmark: http://trove.nla.gov.au/version/83405
Physical Description
  • article
Language
  • English

Edition details

Title
  • SYMMETRIES IN LÃVY TERM STRUCTURE MODELS
Author
  • ERNST EBERLEIN
  • WOLFGANG KLUGE
  • ANTONIS PAPAPANTOLEON
Physical Description
  • article
Notes
  • 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 HeathâJarrowâMorton, a LIBOR and a forward price model, driven by time-inhomogeneous Lévy processes. On the way, we review the basic properties of these models.
  • Time-inhomogeneous Lévy processes, change of measure, symmetry, HeathâJarrowâMorton model, LIBOR model, forward price model
  • RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:967-986
Language
  • English
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