Interest Rate Caps "Smile" Too! But Can the LIBOR...

Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture the Smile?

Robert Jarrow, Haitao Li and Feng Zhao
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Volume:
62
Language:
english
Journal:
The Journal of Finance
DOI:
10.2307/4123464
Date:
February, 2007
File:
PDF, 4.04 MB
english, 2007
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