THE PRICING AND HEDGING OF LIMITED EXERCISE CAPS AND SPREADS
Author:
Affiliation:
1. Virginia Polytechnic Institute & State University
Publisher
Wiley
Subject
Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1475-6803.1994.tb00166.x/fullpdf
Reference16 articles.
1. Up, over and out;Benson,1992
2. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973
3. Pricing and hedging capped options;Boyle;Journal of Futures Markets,1989
4. Finite differences and jump processes arising in the pricing of contingent claims: A synthesis;Brennan;Journal of Financial and Quantitative Analysis,1978
5. Pricing life-of-loan rate caps on default-free adjustable-rate mortgages;Buser;AREUEA Journal,1985
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