A Field Theory Model for Pricing and Hedging Libor Derivatives
The industry standard for pricing an interest-rate caplet is Black's formula. Another distinct price of the same caplet can be derived using a quantum field theory model of the forward interest rates. An empirical study is carried out to compare the two caplet pricing formulae. Historical volat...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1549 https://doi.org/10.1016/j.physa.2006.07.024 |
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| Institution: | Singapore Management University |
| Language: | English |