Abstract
At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behavior is illustrated using London interbank offered rate data, and a possible martingale pricing scheme is discussed.
Lingua originale | Inglese |
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pagine (da-a) | 189-196 |
Numero di pagine | 8 |
Rivista | Physica A: Statistical Mechanics and its Applications |
Volume | 339 |
Numero di pubblicazione | 1-2 |
DOI | |
Stato di pubblicazione | Pubblicato - 1 ago 2004 |
Pubblicato esternamente | Sì |
Evento | Proceedings of the International Conference New Materials - Canberra, Vic., Australia Durata: 3 nov 2003 → 7 nov 2003 |