Logo image
Open Research University homepage
Surrey researchers Sign in
Finite Maturity Caps and Floors on Continuous Flows
Journal article

Finite Maturity Caps and Floors on Continuous Flows

M Shackleton and RM Wojakowski
Journal of Economic Dynamics and Control, Vol.31(12), pp.3843-3859
2007

Abstract

Finite maturity Caps and floors Continuous flows Time integral of options Implied volatilities

Metrics

Details

Logo image

Usage Policy