TY - JOUR T1 - Properties of the Chooser Flexible Cap JF - The Journal of Derivatives SP - 86 LP - 102 DO - 10.3905/jod.2007.694795 VL - 15 IS - 1 AU - Masamtsu Ohnishi AU - Yasuhiro Tamba Y1 - 2007/08/31 UR - https://pm-research.com/content/15/1/86.abstract N2 - 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 ER -