Miller, Shane M; Platen, Eckhard - Finance Discipline Group, Business School - 2008
semi-analytic prices derived for options on zero-coupon bonds can subsequently be used to price interest rate caps and … derived
for options on zero-coupon bonds can subsequently be used to price interest
rate caps and floors.
1991 Mathematics …,
interest rate caps and floors.
1Citigroup Global Markets Australia Pty Ltd, 2 Park Street, Sydney NSW 2000, Australia.
2 …