descriptionPublicationkeyboard_double_arrow_right Article 01 May 2014 English Publisher:Elsevier BVJournal:Physica A: Statistical Mechanics and its Applications, volume 401, pages 182-200 (issn: 0378-4371,

Authors: Belal E. Baaquie; Xin Du; Pan Tang; Yang Cao;

doi: 10.1016/j.physa.2014.01.042

Pricing of range accrual swap in the quantum finance Libor Market Model

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Abstract

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Related Organizations

National University of Singapore
Singapore
National University of Singapore Libraries
Singapore
Southeast University
China (People's Republic of)

Keywords

range accrual swap, 330, Derivative securities (option pricing, hedging, etc.), Range accrual swap, quantum finance, Financial applications of other theories, Monte Carlo simulation, Quantum finance, 510

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