Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?

Publisher: John Wiley & Sons Inc

E-ISSN: 1540-6261|22-1082|1|345-382

ISSN: 0022-1082

Source: THE JOURNAL OF FINANCE, Vol.22-1082, Iss.1, 2007-02, pp. : 345-382

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Abstract