A simple solution for sticky cap and sticky floor

DOI10.1080/14697680600999377zbMath1142.91503OpenAlexW2083729750MaRDI QIDQ5309002

Roberto Baviera

Publication date: 9 October 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600999377

zbMATH Keywords

bond market modelSticky capsticky floor

Mathematics Subject Classification ID

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing
• BOND MARKET MODEL

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