While negative interest rate should not be possible. However, under the assumption of normal distribution, there is possibility of negative interest. But such probability is very low or even tiny, therefore it should not have visible impact on the pricing (at least from my observations). There are a few literature in which this topic was discussed.
From:
[hidden email]To:
[hidden email]Date: Sat, 18 Apr 2009 05:34:10 +0000
Subject: [Quantlib-users] negative interest rate
Hi guys,
Probably this is not directly related to quantlib but I guess people on
this list are the most capable to help me here.
Has anyone come across negative interest rates in stock option pricing
before? If so could you point me to right direction of how does it work
and how to use it?
Thanks,
Bo
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