Symmetries in Lévy Term Structure Models
نویسندگان
چکیده
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.
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تاریخ انتشار 2005