A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
AbstractWe derive the closed form pricing formulae for contracts written on zero coupon bonds for the lognormal forward LIBOR rates. The method is purely probabilistic in contrast with the earlier results obtained by Miltersen et al. (1997).
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 1 (1997)
Issue (Month): 4 ()
Note: received: November 1995; final version received: June 1997
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Christian Zuhlsdorff, 2001. "The pricing of derivatives on assets with quadratic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 235-262.
- Christian Zühlsdorff, 2002. "The Pricing of Derivatives on Assets with Quadratic Volatility," Bonn Econ Discussion Papers bgse5_2002, University of Bonn, Germany.
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