---
title: Arithmetic Average RFR Cap and Floor Valuation With the SABR Model
url: https://www.ml-quant.com/papers/ssrn/5198570/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5198570
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5198570
featured: 2025-04-02
citations: 0
topic: Derivatives & Volatility
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5198570
- Identifier: SSRN 5198570
- Released: 2025-03-30
- First featured: Quant Letter No. 91 (2025-04-02): https://www.ml-quant.com/issues/2025-04-02/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Risk Revisited](https://www.ml-quant.com/papers/ssrn/4825844/): The study identifies recency, cluster, and sign as three factors shaping investors' risk perceptions of a stock, influencing trading volume and future volatility.
- [Rough Volatility: Fact or Artefact?](https://www.ml-quant.com/papers/arxiv/2203.13820/): Fact or Artifact: The study proposes a new method to estimate the roughness of financial asset volatility, attributing observed roughness to microstructure noise.
- [Does Speculation Increase Volatility in Grain Futures Markets? Evidence from the Interwar Chicago Board of Trade](https://www.ml-quant.com/papers/ssrn/5200192/): The paper uses new data to investigate if speculators caused volatility in grain futures markets during the interwar period, concluding that speculators did not cause volatility but were attracted to volatile markets.
- [Short-Time Behavior of the At-the-Money Implied Volatility for the Jump-Diffusion Stochastic Volatility Bachelier Model](https://www.ml-quant.com/papers/arxiv/2503.22282/): The research uses advanced calculus techniques to analyze short-time behavior of stock price volatility, supported by numerical examples.
- [Martingale property and moment explosions in signature volatility models](https://www.ml-quant.com/papers/arxiv/2503.17103/): The research explores the properties of a signature volatility model, showing the price process is a true martingale under specific conditions.
- [Deep Hedging with Options Using the Implied Volatility Surface](https://www.ml-quant.com/papers/arxiv/2504.06208/): A new deep hedging framework for index option portfolios, which includes surface-informed decisions and transaction costs, has been proposed and outperforms traditional methods in both simulated and historical data from 1996 to 2020.