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- W2262742222 abstract "We describe an application of the Libor Market Model to the valuation of caps and floors in arrears. Using this framework, the value of in-arrears caps and floors equals the price of regular caps or floors plus the value of an exchange option on the forward rate. We compare the exact results with two simpler approximations, a naive one without convexity adjustment, and a more refined one with convexity correction. The naive approximation underprices caps and overprices floors. The pricing with convexity correction is within one basis point of the exact price for medium to low volatilities. For very high volatilities, however, the convexity-corrected approximation underprices both caps and floors by several basis points." @default.
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- W2262742222 date "1998-05-21" @default.
- W2262742222 modified "2023-09-28" @default.
- W2262742222 title "Exact Pricing Formula for Caps and Floors in Arrears" @default.
- W2262742222 hasPublicationYear "1998" @default.
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