Fractal Interest Rate Model without Ito Formula

Joon Hee Rhee (Soongsil University)

Journal of Derivatives and Quantitative Studies: 선물연구

ISSN: 1229-988X

Article publication date: 31 May 2008

Abstract

Without using Ito formula, we investigate the IBm interest rate theory‘ We obtain a pure discount bond price. and Greeks by using Malllavin calculus.

Keywords

Citation

Rhee, J.H. (2008), "Fractal Interest Rate Model without Ito Formula", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 16 No. 1, pp. 21-48. https://doi.org/10.1108/JDQS-01-2008-B0002

Publisher

:

Emerald Publishing Limited

Copyright © 2008 Emerald Publishing Limited

License

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