Interest rates in quantum finance: Caps, swaptions and bond options

Belal E. Baaquie

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 2, 296-314

Abstract: The prices of the main interest rate options in the financial markets, derived from the Libor (London Interbank Overnight Rate), are studied in the quantum finance model of interest rates. The option prices show new features for the Libor Market Model arising from the fact that, in the quantum finance formulation, all the different Libor payments are coupled and (imperfectly) correlated.

Keywords: Libor; Derivatives; Quantum finance (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:2:p:296-314

DOI: 10.1016/j.physa.2009.09.031

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