Implied Volatilities for Options on Backward-Looking Term Rates

We derive valuation formulas for caps and floors on backward-looking term rates in the Black-1976, Bachelier and Hull-White-1-Factor models explicitly regarding valuation in the fixing period, extending and detailing results of [Lyashenko & Mercurio 2019, Henrard 2019, Turfus 2020]. These formulae facilitate us to provide a consistent definition for implied volatility on backward-looking term rates

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Year of publication:	2020
Authors:	Hofmann, Karl F.
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionsgeschäft \| Option trading \| Optionspreistheorie \| Option pricing theory \| Zinsstruktur \| Yield curve

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