| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481486 | Physica A: Statistical Mechanics and its Applications | 2012 | 22 Pages |
Abstract
⺠We simulate the Libor Market Model in the framework of Quantum Finance. ⺠An alternative derivation of stochastic drift is given. ⺠The invariance of caplet price for different forward bond numeraire is verified by using simulation. ⺠We compare the simulation method with the approximate formula for several financial instruments.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Belal E. Baaquie, Pan Tang,