A simple solution for sticky cap and sticky floor

被引：0

作者：

Baviera, Roberto ^{[1
]}

机构：

[1] Abaxbank, I-20122 Milan, Italy

来源：

QUANTITATIVE FINANCE | 2007年 / 7卷 / 03期

关键词：

sticky cap; sticky floor; Bond Market Model;

D O I：

10.1080/14697680600999377

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：285 / 287

页数：3

共 9 条

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