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

DOI10.1007/s007800050028zbMath0888.90016OpenAlexW2033381778MaRDI QIDQ1376240

Beniamin Goldys

Publication date: 11 December 1997

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050028

zbMATH Keywords

Girsanov transformationzero coupon bondsclosed form princing formulaecontracts on zero-coupon bondslognormal model of LIBOR rates

Mathematics Subject Classification ID

Related Items (3)

THEORY AND CALIBRATION OF SWAP MARKET MODELS ⋮ The pricing of derivatives on assets with quadratic volatility ⋮ Dynamics of Spot, Forward, and Futures Libor Rates

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