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Symmetries In Lévy Term Structure Models

Author

Listed:
  • 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)

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.

Suggested Citation

  • Ernst Eberlein & Wolfgang Kluge & Antonis Papapantoleon, 2006. "Symmetries In Lévy Term Structure Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 967-986.
    • Handle: RePEc:wsi:ijtafx:v:09:y:2006:i:06:n:s0219024906003809
    DOI: 10.1142/S0219024906003809
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    References listed on IDEAS

    as
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