Pricing of a Chooser Flexible Cap and its Calibration
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Keywordschooser flexible cap; LIBOR; dynamic programming; Hull-White model; calibration.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-19 (All new papers)
- NEP-FIN-2005-06-19 (Finance)
- NEP-MIC-2005-06-19 (Microeconomics)
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