RT Journal Article
SR Electronic
T1 Properties of the Chooser Flexible Cap
JF The Journal of Derivatives
FD Institutional Investor Journals
SP 86
OP 102
DO 10.3905/jod.2007.694795
VO 15
IS 1
A1 Masamtsu Ohnishi
A1 Yasuhiro Tamba
YR 2007
UL https://pm-research.com/content/15/1/86.abstract
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