The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence

Preprint

1 January 2000

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.216458

Abstract

Although traded as distinct products, caps and swaptions are linked by no-arbitrage relations through the correlation structure of interest rates. Using a strin

Keywords

SSRN
THE RELATIVE VALUATION OF CAPS AND SWAPTIONS: THEORY AND EMPIRICAL EVIDENCE
FRANCIS A. LONGSTAFF
EDUARDO S. SCHWARTZ
PEDRO SANTA-CLARA

All Related Versions

Version 1, 2000-01-01, RePEc (Unconfirmed version)

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