EBERLEIN, ERNST; KLUGE, WOLFGANG; PAPAPANTOLEON, ANTONIS - In: International Journal of Theoretical and Applied … 09 (2006) 06, pp. 967-986
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...