Miltersen, Kristian R.; Sandmann, Klaus; Sondermann, Dieter - Sonderforschungsbereich Information und die … - 1996
We derive a unified model which 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 forward rates with a compounding period that matches the contract, which we want to price, is...
