Interest rate caps "smile" too! but can the LIBOR market models capture the smile?

Journal of Finance

Volumn 62, Issue 1, 2007, Pages 345-382

  Jarrow, Robert ^a   Li, Haitao ^b   Zhao, Feng ^c  

^a The Samuel Curtis Johnson Graduate School of Management   (United States)

^b UNIVERSITY OF MICHIGAN   (United States)

^c RUTGERS UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33846203737     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2007.01209.x     Document Type: Article

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