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Exact Pricing Formula for Caps and Floors in Arrears
looking for the paper"Exact Pricing Formula for Caps and Floors in Arrears"Journal: The Journal of Financial Engineering, Vol 6, No 4, December 1997 Thanks in advance
Exact Pricing Formula for Caps and Floors in Arrears
i don't know the paper but deriving the formula when the rate is lognormal is pretty easy. You just have to findE( (f-K)_{+}(1+f\tau)) with f lognormal.