PT  - JOURNAL ARTICLE
AU  - Masamtsu Ohnishi
AU  - Yasuhiro Tamba
TI  - Properties of the Chooser Flexible Cap
AID  - 10.3905/jod.2007.694795
DP  - 2007 Aug 31
TA  - The Journal of Derivatives
PG  - 86--102
VI  - 15
IP  - 1
4099  - https://pm-research.com/content/15/1/86.short
4100  - https://pm-research.com/content/15/1/86.full
AB  - 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's strike rate on any repricing date. A chooser cap specifies a smaller number of caplets, such that at most lTOPICS: Options, statistical methods