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A simple solution for sticky cap and sticky floor

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Author Info
Roberto Baviera
Abstract

We show an analytical approach to sticky cap and sticky floor according to the Bond Market Model, a recently introduced version of the multi-factor Gaussian Heath-Jarrow-Morton model that is particularly easy to manage and calibrate. This solution allows having a comprehensive approach even for this class of Interest Rates' exotic derivatives that are fully path-dependent.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/14697680600999377&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Quantitative Finance.

Volume (Year): 7 (2007)
Issue (Month): 3 ()
Pages: 285-287
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Handle: RePEc:taf:quantf:v:7:y:2007:i:3:p:285-287

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Related research
Keywords: Sticky cap Sticky floor Bond Market Model

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