Valuation of interest rate options based on the entropy pricing method under incomplete market
Zhou Rong · Journal of Beijing University of Chemical Technology · 2008
On the basis of the entropy pricing method,the analytical formula of valuing of caps,floors,collars and swaption of interest rate are given with parallel to Black-Scholes option pricing model,and their simplifying formula are presented respectively,which are offered a new way to price interest rate options in incomplete market.