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|Title:||Pricing of range accrual swap in the quantum finance Libor Market Model|
|Authors:||Baaquie, B.E. |
|Keywords:||Monte Carlo simulation|
Range accrual swap
|Citation:||Baaquie, B.E., Du, X., Tang, P., Cao, Y. (2014-05-01). Pricing of range accrual swap in the quantum finance Libor Market Model. Physica A: Statistical Mechanics and its Applications 401 : 182-200. ScholarBank@NUS Repository. https://doi.org/10.1016/j.physa.2014.01.042|
|Abstract:||We study the range accrual swap in the quantum finance formulation of the Libor Market Model (LMM). It is shown that the formulation can exactly price the path dependent instrument. An approximate price is obtained as an expansion in the volatility of Libor. The Monte Carlo simulation method is used to study the nonlinear domain of the model and determine the range of validity of the approximate formula. The price of accrual swap is analyzed by generating daily sample values by simulating a two dimension Gaussian quantum field.|
|Source Title:||Physica A: Statistical Mechanics and its Applications|
|Appears in Collections:||Staff Publications|
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