Transcription of Interest Rate Options - Analytical Finance
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Interest Rate Options - Analytical Finance
Interest Rate OptionsSaurav SenApril 2001 Contents1. Caps and Defintions .. Plain Vanilla Caps .. Caplets .. Caps .. Bootstrapping the Forward Volatility Curve .. Caplet as a Put Option on a Zero-Coupon Bond .. Hedging Caps .. Floors .. Pricing and Hedging .. Put-Call Parity .. At-the-money (ATM) Caps and Floors .. Digital Caps .. Pricing .. Hedging .. Other Exotic Caps and Floors .. Knock-In Caps .. LIBOR Reset Caps .. Auto Caps .. Chooser Caps .. CMS Caps and Floors .. 92. Swap Swaps: A Brief Review of Essentials .. Swaptions .. Definitions.
1.2.1. Caplets As mentioned earlier, a cap is a strip of caplets. The price of a cap is the sum of its constituent caplet prices, and so we focus on these first.
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