SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
| Autor: | Wolfgang Kluge, Antonis Papapantoleon, Ernst Eberlein |
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| Rok vydání: | 2006 |
| Předmět: |
Heath–Jarrow–Morton framework
Change of measure Libor Homogeneous space Equity (finance) Economics Forward price LIBOR market model Time-inhomogeneous Lévy processes change of measure symmetry Heath–Jarrow–Morton model LIBOR model forward price model General Economics Econometrics and Finance Mathematical economics Lévy process Finance |
| Zdroj: | International Journal of Theoretical and Applied Finance. (06):967-986 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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