Belomestny, Denis (contributor); … - 2007
to Caplet prices
A caplet for the period [Tj,Tj+1] with strike K is an option that pays (Lj(Tj)−
K)+δj at time Tj+1 … Model of Interest
Rate Dynamics. Mathematical Finance, 7 (2), 127–155.
[7] Carr, P. and D. Madan (1999). Option Valuation …). Option pricing when underlying stock returns are
discontinuous. J. Financial Economics, 3(1), 125–144.
[19] Miltersen, K., K …