A simple solution for sticky cap and sticky floor |
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Authors: | Roberto Baviera? |
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Institution: | 1. Abaxbank , corso Monforte, 34, I-20122 Milan, Italy roberto.baviera@abaxbank.com |
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Abstract: | We show an analytical approach to sticky cap and sticky floor according to the Bond Market Model, a recently introduced version of the multi-factor Gaussian Heath–Jarrow–Morton model that is particularly easy to manage and calibrate. This solution allows having a comprehensive approach even for this class of Interest Rates' exotic derivatives that are fully path-dependent. |
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Keywords: | Sticky cap Sticky floor Bond Market Model |
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