Jarrow is from the Johnson Graduate School of Management, Cornell University. Li is from the Stephen M. Ross School of Business, University of Michigan. Zhao is from the Rutgers Business School, Rutgers University. We thank Warren Bailey, Peter Carr, Fousseni Chabi-Yo, Jefferson Duarte, Richard Green (the editor), Pierre Grellet Aumont, Anurag Gupta, Bing Han, Paul Kupiec, Francis Longstaff, Kenneth Singleton, Marti Subrahmanyam, Siegfried Trautmann, an anonymous referee, and seminar participants at the Federal Deposit Insurance Corporation, Rutgers University, the 2003 European Finance Association Meeting, the 2004 Econometric Society Winter Meeting, the 2004 Western Finance Association Meeting, Bank of Canada Fixed-Income Conference, the 15th Annual Derivatives Conference, and the Financial/Actuarial Mathematics Seminar at the University of Michigan for helpful comments. We are responsible for any remaining errors.
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
Version of Record online: 11 JAN 2007
© 2007 the American Finance Association
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 online: 11 JAN 2007
- Version of Record online: 11 JAN 2007
Options for accessing this content:
- If you are a society or association member and require assistance with obtaining online access instructions please contact our Journal Customer Services team.
- If your institution does not currently subscribe to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!