Caplet Pricing with Backward-Looking Rates
Wilmott Magazine, September 2022, pp. 106-9.
7 Pages Posted: 8 Mar 2020 Last revised: 11 Jan 2023
Date Written: January 1, 2020
Abstract
We consider the Hull-White short rate model and extend the known closed-form pricing kernel to include the integrated short rate as a separate independent variable, applying it to cap/floor pricing.
Keywords: Hull-White, short rate model, pricing kernel, LIBOR replacement, backward-looking rates, compounded rates
Suggested Citation: Suggested Citation
Turfus, Colin, Caplet Pricing with Backward-Looking Rates (January 1, 2020). Wilmott Magazine, September 2022, pp. 106-9., Available at SSRN: https://ssrn.com/abstract=3527091 or http://dx.doi.org/10.2139/ssrn.3527091
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.