English, Article, Journal or magazine article edition: Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates D. Sondermann; K. Miltersen

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/52110
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates
Author
  • D. Sondermann
  • K. Miltersen
Physical Description
  • preprint
Notes
  • Starting with observable annually compounded forward rates we derive a term structure model of interest rates. The model relies upon the assumption that a specific set of annually compounded forward rates is log-normally distributed. We derive solutions for interest rate caps and floors as well as puts and calls written on zero-coupon bonds. In particular, for caplets with payment periods of same length as the compounding period (in our paper we have chosen one year, but it could be as well three or six months with quarterly or biannual compounding) we obtain the same Black formula as often used by market practioners, however, without making the unrealistic assumption that forward rates are independent of the accummulation process. Moreover, the log-normal assumption is shown to be consistent with the Heath-Jarrow-Morton model for a specific choice of volatility.
  • Arbitrage, debt options, annually compounded rates, Heath-Jarrow- Morton model, option pricing, term structure of interest rates.
  • RePEc:bon:bonsfb:285
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment