%0 Journal Article
%T In-Arrears Interest Rate Derivatives under the 3/2 Model
%A Joanna Goard
%J Modern Economy
%P 707-716
%@ 2152-7261
%D 2015
%I Scientific Research Publishing
%R 10.4236/me.2015.66067
%X Lie symmetry methods are used to find a closed form solution for
in-arrears swaps under the 3/2 model <img src=\"Edit_42466f32-4d7e-4a57-ae1f-687244b56cb8.bmp\" alt=\"\" /></span><b><span><span></span></span></b><span style=\"font-family:Verdana;\">. As well, approximate solutions are found for short-tenor in-arrears
caplets and floorlets under the same interest rate model. Comparisons are made
of the approximate option values with those obtained with a
computationally-intensive numerical scheme. The approximate pricing is found to
be substantially fast and easy to implement, while the relative errors with
respect to the ¡°true¡± prices are very small.
%K In-Arrears Swaps
%K Interest Rate Options
%K 3/2 Model
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=57255