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Pricing of range accrual swap in the quantum finance LIBOR market model

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dc.contributor.authorBelal Ehsan Baaquie
dc.contributor.authorXin Du
dc.contributor.authorPan Tang
dc.contributor.authorYang Cao
dc.date.accessioned2017-07-20T03:04:36Z
dc.date.available2017-07-20T03:04:36Z
dc.date.issued2014
dc.description.abstractWe 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.en_US
dc.identifier.citationBaaquie, B. E., Xin, D., Pan, T., & Yang, C. (2014). Pricing of range accrual swap in the quantum finance Libor market model. Physica A, 401, pp. 182-200.en_US
dc.identifier.doihttps://doi.org/10.1016/j.physa.2014.01.042
dc.identifier.issn0378-4371
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/2601
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rights2014. Elsevier
dc.sourceSEDONA
dc.subjectQuantum financeen_US
dc.subjectRange accrual swapen_US
dc.subjectMonte Carlo simulationen_US
dc.titlePricing of range accrual swap in the quantum finance LIBOR market modelen_US
dc.typeJournal Articleen_US
dlc.maintopicConventional finance
dlc.subtopicEconomics
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional financeen_US
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