Finite maturity caps and floors on continuous flows

Journal of Economic Dynamics and Control

Volumn 31, Issue 12, 2007, Pages 3843-3859

  Shackleton, Mark B ^a   Wojakowski, Rafał ^a  

^a LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

Caps and floors; Continuous flows; Finite maturity; Implied volatilities; Time integral of options

Indexed keywords

EID: 34548824833     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2006.12.012     Document Type: Article

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