Arithmetic Average RFR Cap and Floor Valuation With the SABR Model
A model-independent formula for the valuation of a discrete arithmetic average RFR cap and floor is derived, confirming that call-put parity is satisfied for the valuation formula.
Featured in No. 91 on 2 Apr 2025 · 3 days after release · 0 citations today
- Released
- 30 Mar 2025
- First featured
- No. 91 · 2 Apr 2025
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- Identifier
- SSRN 5198570
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