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

Beniamin Goldys ()
Additional contact information
Beniamin Goldys: School of Mathematics, The University of New South Wales, Sydney 2052, Australia

Finance and Stochastics, 1997, vol. 1, issue 4, 345-352

Abstract: 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).

Keywords: Lognormal model of LIBOR rates; contracts on zero-coupon bonds; Girsanov transformation (search for similar items in EconPapers)
JEL-codes: E43 G13 (search for similar items in EconPapers)
Date: 1997-09-30
Note: received: November 1995; final version received: June 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://link.springer.de/link/service/journals/00780/papers/7001004/70010345.pdf (application/pdf)
http://link.springer.de/link/service/journals/0078 ... 01004/70010345.ps.gz (application/postscript)
Access to the full text of the articles in this series is restricted

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:1:y:1997:i:4:p:345-352

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().