English, Article, Journal or magazine article edition: Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates Miltersen, K.; K. Sandmann; D. Sondermann

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Bookmark: http://trove.nla.gov.au/version/52148
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
Author
  • Miltersen, K.
  • K. Sandmann
  • D. Sondermann
Physical Description
  • preprint
Notes
  • We derive a unified model which gives closed form solutions for caps and floors written on interest rates as well as puts and calls written on zero-coupon bonds. The crucial assumption is that forward rates with a compounding period that matches the contract, which we want to price, is log-normally distributed. Moreover, this assumption is shown to be consistent with the Heath-Jarrow-Morton model for a specific choice of volatility.
  • Log-normal, nominal-compounding rates, Heath-Jarrow- Morton model
  • RePEc:bon:bonsfb:308
Language
  • English
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