Pricing and hedging interest rate options: Evidence from cap-floor markets

Journal of Banking and Finance

Volumn 29, Issue 3, 2005, Pages 701-733

  Gupta, Anurag ^a   Subrahmanyam, Marti G ^b  

^a CASE WESTERN RESERVE UNIVERSITY   (United States)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

Caps floors; Hedging; Interest rate options; Model performance; Term structure of interest rates

Indexed keywords

EID: 11344250452     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(04)00054-8     Document Type: Article

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