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A note on pricing interest rate derivatives when forward LIBOR rates are lognormal |
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| Authors: | Beniamin Goldys |
| Affiliation: | (1) School of Mathematics, The University of New South Wales, Sydney 2052, Australia (e-mail: b.goldys@unsw.edu.au) , AU |
| 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 JEL classification:E43 G13 Mathematics Subject Classification (1991):90A09 60H10 |
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