Ito, Daisuke; Ohnishi, Masamitsu; TAMBA, Yasuhiro - Graduate School of Economics, Osaka University - 2004
In this paper, we deal with no-arbitrage pricing problems of a chooser flexible cap (floor) written on an underlying LIBOR. The chooser flexible cap (floor) allows a right for a buyer to exercise a limited and pre-determined number of the interim period caplets (floorlets) in a multiple-period...