@article {Ohnishi86, author = {Masamtsu Ohnishi and Yasuhiro Tamba}, title = {Properties of the Chooser Flexible Cap}, volume = {15}, number = {1}, pages = {86--102}, year = {2007}, doi = {10.3905/jod.2007.694795}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The plain vanilla cap contract with N repricing dates offers the holder N caplets, such that a payoff is received whenever the market interest rate is above the cap{\textquoteright}s strike rate on any repricing date. A chooser cap specifies a smaller number of caplets, such that at most lTOPICS: Options, statistical methods}, issn = {1074-1240}, URL = {https://jod.pm-research.com/content/15/1/86}, eprint = {https://jod.pm-research.com/content/15/1/86.full.pdf}, journal = {The Journal of Derivatives} }