A note on pricing interest rate derivatives when forward LIBOR rates are lognormal (Q1376240)
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scientific article; zbMATH DE number 1096361
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| English | A note on pricing interest rate derivatives when forward LIBOR rates are lognormal |
scientific article; zbMATH DE number 1096361 |
Statements
A note on pricing interest rate derivatives when forward LIBOR rates are lognormal (English)
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11 December 1997
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lognormal model of LIBOR rates
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contracts on zero-coupon bonds
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Girsanov transformation
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closed form princing formulae
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zero coupon bonds
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0.8023391366004944
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0.7967672348022461
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0.791011393070221
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