Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

We derive a unified model which gives closed form solutions for caps and floors written on interest rates as well as puts and calls written on zero-coupon bonds. The crucial assumption is that forward rates with a compounding period that matches the contract, which we want to price, is log normally distributed. Moreover, this assumption is shown to be consistent with the Heath-Jarrow-Morton model for a specific choice of volatility

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Year of publication:	[2006]
Authors:	Miltersen, Kristian R.
Other Persons:	Sandmann, Klaus (contributor) ; Sondermann, Dieter (contributor)
Publisher:	[2006]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: The Journal of Finance, Vol. 52, pp. 409-430, 1997 Volltext nicht verfügbar
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012780151