Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
推导了一个统一的利率期限结构模型，为利率上限/下限和零息债券期权提供了闭式解，关键假设是固定期限的简单利率服从对数正态分布。
Abstract. We derive a unified term structure of interest rates 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 the simple interest rate over a fixed finite 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. 1.