Advanced Search
MyIDEAS: Login

A note on pricing interest rate derivatives when forward LIBOR rates are lognormal

Contents:

Author Info

  • Beniamin Goldys

    ()
    (School of Mathematics, The University of New South Wales, Sydney 2052, Australia)

Registered author(s):

    Abstract

    We 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).

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://link.springer.de/link/service/journals/00780/papers/7001004/70010345.pdf
    Download Restriction: Access to the full text of the articles in this series is restricted

    File URL: http://link.springer.de/link/service/journals/00780/papers/7001004/70010345.ps.gz
    Download Restriction: Access to the full text of the articles in this series is restricted

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 1 (1997)
    Issue (Month): 4 ()
    Pages: 345-352

    as in new window
    Handle: RePEc:spr:finsto:v:1:y:1997:i:4:p:345-352

    Note: received: November 1995; final version received: June 1997
    Contact details of provider:
    Web page: http://www.springerlink.com/content/101164/

    Order Information:
    Web: http://link.springer.de/orders.htm

    Related research

    Keywords: Lognormal model of LIBOR rates; contracts on zero-coupon bonds; Girsanov transformation;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Christian Z├╝hlsdorff, 2002. "The Pricing of Derivatives on Assets with Quadratic Volatility," Bonn Econ Discussion Papers bgse5_2002, University of Bonn, Germany.
    2. Christian Zuhlsdorff, 2001. "The pricing of derivatives on assets with quadratic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 235-262.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:1:y:1997:i:4:p:345-352. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.