Glasserman, Paul; Wang, Zhenyu - Federal Reserve Bank of New York - 2009
contingent claims framework in which to estimate market values of these CAP securities. The interaction between the competing … options held by the buyer and issuer of these securities creates a game between the two parties, and our approach captures …) launched together with the CAP. On average, we estimate that, compared to a market transaction, the CAP securities carry a net …
