Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
Article first published online: 11 JAN 2007
The Journal of Finance
Volume 62, Issue 1, pages 345–382, February 2007
How to Cite
JARROW, R., LI, H. and ZHAO, F. (2007), Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?. The Journal of Finance, 62: 345–382. doi: 10.1111/j.1540-6261.2007.01209.x
- Issue published online: 11 JAN 2007
- Article first published online: 11 JAN 2007
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