Empirical investigation of a field theory formula and Black's formula for the price of an interest-rate caplet

Empirical investigation of a field theory formula and Black's formula for the price of an interest-rate caplet

10.1016/j.physa.2006.07.024

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Bibliographic Details
Main Authors: Baaquie, B.E., Liang, C.
Other Authors: PHYSICS
Format: Article
Published: 2014
Subjects:
Caplet
Empirical
Field theory model
Online Access:http://scholarbank.nus.edu.sg/handle/10635/96449
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Institution: National University of Singapore
Description
Summary:10.1016/j.physa.2006.07.024

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