Belomestny, Denis (contributor); … - 2007
above.
Furthermore, approximative analytic pricing formulas for caplets and swaptions
are derived for this new Libor model …-method of Carr and Madan (1999) can be straightforwardly adapted
to the caplet pricing problem as done in Belomestny and …. Prause (1998). New insights into smile, mis-
pricing, and value at risk: the hyperbolic model. Journal of Business, 71 …