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

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).

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Year of publication:	1997-09-30
Authors:	Goldys, Beniamin
Published in:	Finance and Stochastics. - Springer. - Vol. 1.1997, 4, p. 345-352
Publisher:	Springer
Subject:	Lognormal model of LIBOR rates \| contracts on zero-coupon bonds \| Girsanov transformation

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Extent:	application/pdf application/postscript
Type of publication:	Article
Notes:	received: November 1995; final version received: June 1997
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005759650