A simple solution for sticky cap and sticky floor

We show an analytical approach to sticky cap and sticky floor according to the Bond Market Model, a recently introduced version of the multi-factor Gaussian Heath-Jarrow-Morton model that is particularly easy to manage and calibrate. This solution allows having a comprehensive approach even for this class of Interest Rates' exotic derivatives that are fully path-dependent.

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Year of publication:	2007
Authors:	Baviera, Roberto
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 7.2007, 3, p. 285-287
Publisher:	Taylor & Francis Journals
Subject:	Sticky cap \| Sticky floor \| Bond Market Model

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005639938