Miltersen, Kristian R; Sandmann, Klaus; Sondermann, Dieter - In: Journal of Finance 52 (1997) 1, pp. 409-30
The authors derive a unified model that gives closed form solutions for caps and floors written on interest rates as well as puts and calls written on zero-coupon bonds. The crucial assumption is that simple interest rates over a fixed finite period that matches the contract, which the authors...