A note on pricing interest rate derivatives when forward LIBOR rates are lognormal (Q1376240)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A note on pricing interest rate derivatives when forward LIBOR rates are lognormal |
scientific article; zbMATH DE number 1096361
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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)
0 references
11 December 1997
0 references
lognormal model of LIBOR rates
0 references
contracts on zero-coupon bonds
0 references
Girsanov transformation
0 references
closed form princing formulae
0 references
zero coupon bonds
0 references
