Skip to main content
Journal ArticleOPEN ACCESS

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
N/ACitations
Citations of this article
9Readers
Mendeley users who have this article in their library.

This article is free to access.

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).

Cite

CITATION STYLE

APA

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

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free