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
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Price of coupon bond options in a quantum field theory of forward interest rates
โ Scribed by Belal E. Baaquie
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 201 KB
- Volume
- 370
- Category
- Article
- ISSN
- 0378-4371
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