Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.physa.2014.01.042
Title: Pricing of range accrual swap in the quantum finance Libor Market Model
Authors: Baaquie, B.E. 
Du, X.
Tang, P.
Cao, Y.
Keywords: Monte Carlo simulation
Quantum finance
Range accrual swap
Issue Date: 1-May-2014
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
URI: http://scholarbank.nus.edu.sg/handle/10635/97607
ISSN: 03784371
DOI: 10.1016/j.physa.2014.01.042
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