Briys, Eric; Crouhy, Michel; Schobel, Rainer - In: Journal of Finance 46 (1991) 5, pp. 1879-92
This paper focuses on the valuation of caps, floors, and collars in a contingent claim framework under continuous time. These instruments are interpreted as options on traded zero coupon bonds. The bond prices themselves are used as the underlying stochastic variables. This has the advantage...