Price of coupon bond options in a quantum field theory of forward interest rates
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DOI: 10.1016/j.physa.2006.04.021
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- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
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- Nicolò Cangiotti, 2024. "Feynman Diagrams beyond Physics: From Biology to Economy," Mathematics, MDPI, vol. 12(9), pages 1-17, April.
- Will Hicks, 2018. "Nonlocal Diffusions and The Quantum Black-Scholes Equation: Modelling the Market Fear Factor," Papers 1806.07983, arXiv.org, revised Jun 2018.
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Keywords
Coupon bond option; Forward interest rates; Quantum field theory;All these keywords.
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