Template-Type:ReDIF-Paper 1.0  
Title:Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates 
Author-Name: Miltersen, K. 
Author-Name: K. Sandmann
Author-Name: D. Sondermann
Classification-JEL:G13 
Keywords:Log-normal, nominal-compounding rates, Heath-Jarrow- Morton model 
Abstract:We derive a unified model which gives closed form solutions for caps and floors written on interest rates
	as well as puts and calls written on zero-coupon bonds. The crucial assumption is that forward rates with a
	compounding period that matches the contract, which we want to price, is log-normally distributed. Moreover, this
	assumption is shown to be consistent with the Heath-Jarrow-Morton model for a specific choice of volatility. 
Length: pages
Creation-Date: 1994-03
Revision-Date: 
Handle: RePEc:bon:bonsfb:308
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb308.pdf
File-Format: application/pdf
File-Size: 238173 bytes