Economics, Econometrics and Finance
6 years ago

New formula revolutionizes pricing of Mid-Curve Money Market Future Options!

SSRN Electronic Journal
Pricing Mid-Curve Money Market Future Options in Lognormal LIBOR Model
Petar D Simic

Paper Summary

Related papers

Economics, Econometrics and Finance
2 years ago

Interest rate modelling revolutionizes insurance product market value calculations.

Option Pricing
Ageing Research
Financial Volatility
Economics, Econometrics and Finance
3 years ago

New model revolutionizes pricing of exotic interest rate derivatives post-Libor.

Option Pricing
Financial Volatility
Credit Risk
Economics, Econometrics and Finance
7 years ago

New financial model simplifies pricing and hedging exotic derivatives

Option Pricing

The article describes a model for pricing Mid-Curve Money Market Future Options based on a lognormal process for forward money market rates. The model calculates a convexity adjustment factor using discount bond price volatility and path integral techniques, leading to an explicit pricing formula for the options.