๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Bond and Option Pricing When Short Rates Are Lognormal

โœ Scribed by Fischer Black and Piotr Karasinski


Book ID
124938254
Publisher
CFA Institute
Year
1991
Tongue
English
Weight
1011 KB
Volume
47
Category
Article
ISSN
0015-198X

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๐Ÿ“œ SIMILAR VOLUMES


Pricing American options for interest ra
โœ Belal E. Baaquie; Cui Liang ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 456 KB

American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American options. The a