摘要
假设违约远期LIBOR在远期测度下是对数正态分布的,利用Black公式给出了基于违约远期LIBOR的上限子期权、利率上限、下限子期权以及利率下限等利率期权的定价公式.
Due to the assumption that defauhable forward LIBOR is lognormally distributed under the forward measure, several pricing formulas of a caplet, a cap, a floor and a floorlet on the defaultable LIBOR are derived by using the Black＇s formula.
出处
《辽宁大学学报（自然科学版）》
CAS
2007年第2期132-135,共4页
Journal of Liaoning University：Natural Sciences Edition
