论文信息 - A note on pricing interest rate derivatives when forward LIBOR rates are lognormal - 字舞流文

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

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).

Beniamin Goldys

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