ITO, DAISUKE; OHNISHI, MASAMITSU; TAMBA, YASUHIRO - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 02, pp. 243-256
In this paper, we deal with no-arbitrage pricing problems of a chooser flexible cap written on an underlying LIBOR. The chooser flexible cap allows a right for a buyer to exercise a limited and pre-determined number of the interim period caplets in a multiple-period cap agreement. Assuming a...