The Pricing of Default-Free Interest Rate Cap, Floor, and Collar Agreements

Eric Briys, Michel Crouhy and Rainer Schobel

Journal of Finance, 1991, vol. 46, issue 5, 1879-92

Abstract: This paper focuses on the valuation of caps, floors, and collars in a contingent claim framework under continuous time. These instruments are interpreted as options on traded zero coupon bonds. The bond prices themselves are used as the underlying stochastic variables. This has the advantage that the authors end up with closed-form solutions that are easy to compute. Special attention is devoted to the choice of the stochastic process appropriate for the price dynamics of the underlying zero coupon bonds. Copyright 1991 by American Finance Association.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819911 ... O%3B2-M&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:46:y:1991:i:5:p:1879-92

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().