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

  • Goldys B
Finance and Stochastics (1997) 1(4) 345-352
DOI: 10.1007/s007800050028
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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).

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Goldys, B. (1997). A note on pricing interest rate derivatives when forward LIBOR rates are lognormal. Finance and Stochastics, 1(4), 345–352. https://doi.org/10.1007/s007800050028

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